• 1 Introduction
  • 2 Modelling the portfolio dependence structure
  • 2.1 The data
  • 2.2 The standardized prots and losses
  • 2.3 The dependence measure Spearman's rho
  • 3 Time-dynamic and hierarchical testing for long-term level shifts of Spearman's rho
  • 3.1 General concepts
  • 3.2 Detecting long-term changes in the level of Spearman's rho over time
  • 3.3 Hierarchical testing
  • 3.4 The Bootstrap
  • 4 Empirical results
  • 4.1 Standardized returns
  • 4.2 Multivariate Spearman's rho of the supervisory portfolio
  • 4.3 Level changes of Spearman's rho of the supervisory portfolio over time
  • 4.4 Hierarchical considerations for the supervisory portfolio
  • 5 Conclusion