Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no … the data. -- Risk management ; extreme risk assessment ; multivariate models ; dependence function …

Exchanging collateral has emerged as the market standard for mitigating counterparty credit risk in the interbank … derivatives market. Collateral postings do not, however, eliminate that risk completely. Most notably, the so-called gap risk … remains, which is the risk that in the event of counterparty default, mismatches between the collateral account and the …