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 …

In this article we present the motivation and methodology behind the Tail Risk Model for Equities. This model provides … portfolio managers with reports on tail risk measures, such as VaR and Expected Shortfall in a non‐normal setting, and … attributes risk to individual securities and factors. We show in detail how copulas, heavy‐tailed distributions and a sector …