Multivariate extremes and the aggregation of dependent risks: examples and counter-examples

By Paul Embrechts, Dominik D. Lambrigger, Mario V. Wüthrich. 2009

1,833 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1762d99b7077f313102d32f761b0d24251da2a75

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Citations in the corpus

Rectangular Patchwork for Bivariate Copulas and Tail Dependence (2009, background): “( 2008 ), this kind of information may be used to determine the sub- or super-additivity of quantile-based risk measures like value-at-risk (see also McNeil et al, 2005 ).”
Risk concentration and diversification: Second-order properties (2009, background): “The asymptotic result (1) has been generalized to situations where the vector X = (X1, . . . , Xn) ≥ 0 is multivariate regularly varying with index −1/ξ and with identically distributed margins; see Barbe et al. (2006), Proposition 2.1 and Embrechts et al. (2009), Theorem 4.1.”
Spectral Density Ratio Models for Multivariate Extremes (2014, background): “2009), precipitation studies (Jarušková 2009) and finance (Embrechts et al. 2009).”
Flexible dependence modeling of operational risk losses and its impact on total capital requirements (2014, methodology): “After carefully modeling the dependence between positive and zero losses for BLs and ETs, we evaluate the diﬀerent models in terms of their risk capital estimates and assess the diversiﬁcation beneﬁt compared to the comonotonicity assumption (see also Embrechts et al. (2009)).”
Infinite size density matrix renormalization group, revisited (2008, background): “There are several reasons for this: Firstly, ﬁnite-size DMRG (fDMRG) readily allows the application ﬁnite-size scaling 30 with respect to the lattice size, whereas for iDMRG the only available parameter is the number of states kept m .”
Fat tails, VaR and subadditivity☆ (2013, unknown): “These issues are further discussed by Embrechts et al. (2008).”
The Fragmentation of Global Governance Architectures: A Framework for Analysis (2009, background): “…on Biological Diversity and the Agreement on Trade-Related Aspects of Intellectual Property Rights [TRIPS] under the World Trade Organization [WTO]) 15 and interlinkages across policy domains (for example trade-environment linkages), the concept of fragmentation of global governance architectures…”