When simultaneously monitoring two possibly dependent, positive risks one is often interested in quantile regions with very small probability p. These extreme quantile regions contain hardly or no data and therefore statistical inference is difficult. In particular when we want to protect...

In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...