Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls

By Paul Embrechts, Alexander J. McNeil, D. Straumann. 2002

2,019 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/02209f44dfb9e4af829990ace49daa26f5c80174

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Citations in the corpus

Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, methodology): “2 See, for instance, Embrechts et al. (2002). correlations computed from the BEKK model so that differences in their evolution through time can be assessed.”
The Grouped t-Copula with an Application to Credit Risk (2003, methodology): “For more on copulas in general, see Joe (1997), Nelsen (1999) or Embrechts, McNeil, and Straumann (2002), and for more on the use of copulas in credit risk modelling, see Schubert and Schönbucher (2000) and Frey, McNeil, and Nyfeler (2001).”
An Academic Response to Basel 3.5 (2014, background): “This often leads to confusion amongst practitioners; it was also one of the reasons (a correlation pitfall) for writing Embrechts et al. (2002).”
Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns (2008, methodology): “If your data is fat-tailed and/or skewed enough to cause the breakdown in mVaR and mES, or if you want to estimate the very extreme downside risk (α = 0.01 or smaller), a copula-based approach as proposed by Embrechts et al. (2002) may be a more appropriate estimator of VaR and ES.”
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013, background): “…and Solnik (1995, 2001) and Ang and Bekaert (2002)), for which the classical product-moment correlation, as implied by the normal distribution, cannot account (see also Embrechts et al. (2002) for a comprehensive discussion of the use of linear product-moment correlations in risk management).”
Quantitative models for operational risk: Extremes, dependence and aggregation (2006, background): “This fact is however due rather to the properties of the correlation coefficient itself and does not necessarily imply lack of dependence; see Embrechts et al. (2002) and especially McNeil et al. (2005, Example 5.26).”