Search Results - subject:"Multivariate extreme value theory"

The impact of global financial crisis on the dependence structure of equity markets and on risk management

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 5 (2013) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10009730450

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

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

Asymptotic conditional distribution of exceedance counts: fragility index with different margins

Falk, Michael; Tichy, Diana - In: Annals of the Institute of Statistical Mathematics 64 (2012) 5, pp. 1071-1085

We consider a random vector <Emphasis Type="BoldItalic">X, whose components are neither necessarily independent nor identically distributed. The fragility index (FI), if it exists, is defined as the limit of the expected number of exceedances among the components of <Emphasis Type="BoldItalic">X above a high threshold, given that there is at least...</emphasis></emphasis>

Persistent link: https://www.econbiz.de/10011000083

The multivariate extremal index and the dependence structure of a multivariate extreme value distribution

Martins, A.; Ferreira, H. - In: TEST: An Official Journal of the Spanish Society of … 14 (2005) 2, pp. 433-448

Persistent link: https://www.econbiz.de/10005390548