Tail dependence
Nonparametric estimation of systemic risk via conditional value-at-risk
The authors propose four new nonparametric estimators of static CoVar and compare their performance in simulation studies.
Tail dependence in small samples: from theory to practice
In this paper, the authors study tail dependence by defining the conditions required for all the methods used to perform and to quantify their efficiency and accuracy.
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
On the dependence of equity and asset returns
Asset returns play an important role in credit risk modelling. Here, Roy Mashal, Marco Naldiand Assaf Zeevi investigate the co-dependence behaviour of asset returns semiparamatrically.They find that the Student-t copula outperforms the normal copula as…
Minimising extremes
Portfolio diversification often breaks down in stressed market environments, but the co-movement of asset prices in a tail risk regime may be modelled using a coefficient of tail dependence. Here, Yannick Malevergne and Didier Sornette show how such…