. The model is applied to the evaluation of the economic risk capital for a portfolio of risks using conditional value-at-risk … measures. A multivariate conditional value-at-risk vector measure is considered. Its components coincide for the constructed … multivariate copula with the conditional value-at-risk measures of the risk components of the portfolio. This yields a “fair” risk …

the stable tail dependence function, which is standard in extreme value theory for describing multivariate tail dependence …

extreme value theory for describing multivariate tail dependence. The asymptotic properties of the test are provided and a … standard sample sizes. In an application to international government bonds, we detect a high tail{risk and low return situation … during the last decade which can essentially be attributed to increased higher-order tail risk. We also illustrate the …