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  • Search: subject:"Multivariate extreme value theory"
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Year of publication
Subject
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multivariate extreme value theory 4 Multivariate Extreme Value Theory 3 systemic risk 3 Conditional probability of joint failure 2 Structural Change Tests 2 asymptotic dependence 2 banking 2 contagion 2 dependence structure 2 distress 2 panel VAR 2 persistence 2 Adaptive Importance Sampling 1 Aggregated risk 1 Ausreißer 1 Bank 1 Copula 1 EU-Staaten 1 Estimation theory 1 Hill estimator 1 Kreditrisiko 1 Multivariate Analyse 1 Multivariate analysis 1 Outliers 1 Risikomanagement 1 Risikomaß 1 Risk measure 1 Schätztheorie 1 Statistical distribution 1 Statistische Verteilung 1 Tail probability 1 Too big to fail 1 USA 1 diversification effect 1 extreme value index 1 multivariate Extreme Value Theory 1 risk 1 systemic importance 1
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Online availability
All
Free 8
Type of publication
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Book / Working Paper 8
Type of publication (narrower categories)
All
Working Paper 2 Arbeitspapier 1
Language
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English 6 Undetermined 2
Author
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Garita, Gus 2 Hartmann, Philipp 2 Straetmans, Stefan 2 de Vries, Casper 2 Bee, Marco 1 Dominicy, Yves 1 Heikilä, Matias 1 Ilmonen, Pauliina 1 Zhou, Chen 1 Zou, Chen 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 de Nederlandsche Bank 2 Dipartimento di Economia e Management, Università degli Studi di Trento 1 European Central Bank 1
Published in...
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DNB Working Papers 2 MPRA Paper 2 Department of Economics Working Papers / Dipartimento di Economia e Management, Università degli Studi di Trento 1 ECARES working paper 1 ECB Working Paper 1 Working Paper Series / European Central Bank 1
Source
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RePEc 6 ECONIS (ZBW) 1 EconStor 1
Showing 1 - 8 of 8
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Multivariate extremes based on a notion of radius
Heikilä, Matias; Dominicy, Yves; Ilmonen, Pauliina - 2015
Persistent link: https://www.econbiz.de/10011673022
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An Inquiry into Banking Portfolios and Financial Stability Surrounding "The Great Recession"
Garita, Gus - Volkswirtschaftliche Fakultät, … - 2010
By utilizing the extreme dependence structure and the conditional probability of joint failure (CPJF) between banks, this paper characterizes a risk-stability index (RSI) that quantifies (i) common distress of banks, (ii) distress between specific banks, and (iii) distress to a portfolio related...
Persistent link: https://www.econbiz.de/10008684868
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Simulating copula-based distributions and estimating tail probabilities by means of Adaptive Importance Sampling
Bee, Marco - Dipartimento di Economia e Management, Università … - 2010
multivariate extreme value theory. In this paper we use a recently proposed generalization of Importance Sampling, called Adaptive …
Persistent link: https://www.econbiz.de/10008515834
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Dependence structure of risk factors and diversification effects
Zou, Chen - de Nederlandsche Bank - 2009
In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value theory …
Persistent link: https://www.econbiz.de/10004963333
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Risk-Factor Portfolios and Financial Stability
Garita, Gus - Volkswirtschaftliche Fakultät, … - 2009
This paper defines a risk-stability index (RSI) that takes into account the extreme dependence structure and the conditional probability of joint failure (CPJF) among risk factors in a portfolio. In combination, both the RSI and CPJF provide a valuable tool for analyzing risk from complementary...
Persistent link: https://www.econbiz.de/10008562630
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Are banks too big to fail?
Zhou, Chen - de Nederlandsche Bank - 2009
provide the estimation methodology of systemic importance measures under the multivariate Extreme Value Theory (EVT) framework. …
Persistent link: https://www.econbiz.de/10008475752
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Banking system stability: a cross-Atlantic perspective
Hartmann, Philipp; Straetmans, Stefan; de Vries, Casper - 2005
between banks’ equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks …
Persistent link: https://www.econbiz.de/10011604573
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Banking system stability: a cross-Atlantic perspective
Hartmann, Philipp; Straetmans, Stefan; de Vries, Casper - European Central Bank - 2005
between banks’ equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks …
Persistent link: https://www.econbiz.de/10005162899
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