High Risk Scenarios and Extremes

By Guus Balkema, Paul Embrechts. 2007

85 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e45a8e5b71717926a7d202eb281b2f0053e54521

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Thomas Opitz
2. Sebastian Engelke
3. Fabrizio Durante
4. Mark M. Meerschaert
5. G. Salvadori
6. Jennifer L. Wadsworth
7. Martin Schlather
8. A. C. Davison

In Economics and Econometrics

1. Thomas Opitz
2. Fabrizio Durante
3. Sebastian Engelke
4. G. Salvadori
5. Hans-Peter Scheffler
6. Mark M. Meerschaert
7. Georg Mainik
8. Zakhar Kabluchko

In Management Science and Operations Research

1. Fabrizio Durante
2. G. Salvadori
3. Thomas Opitz
4. Mark M. Meerschaert
5. Zakhar Kabluchko
6. Sebastian Engelke
7. Jennifer L. Wadsworth
8. Martin Schlather

Citations in the corpus

• On dependence consistency of CoVaR and some other systemic risk measures (2012, background): “This approach goes in line with the general concept of stress scenarios discussed in [6].”
• Estimation of Hüsler–Reiss distributions and Brown–Resnick processes (2012, background): “…approach generalizes classical multivariate regular variation and was introduced by Heffernan and Tawn (2004) and further investigated by several researchers (see Hashorva (2006), Balkema and Embrechts (2007), Heffernan and Resnick (2007), Fougères and Soulier (2010) and Das and Resnick (2011)).”
• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (2009, unknown): “For the latter, several approaches exist, like the more geometric one as presented in Balkema and Embrechts (2007) or Barbe (2003).”
• On the construction of multivariate extreme value models via copulas (2009, methodology): “(2004), de Haan and Ferreira (2006), Balkema and Embrechts (2007) and references therein. In particular, the concept of copula has provided to be very useful for the construction of multivariate extreme value models (hereafter, MEV)—see, e.g., Joe (1997), De Haan and De Ronde (1998), Nelsen (2006), ”
• Extremal dependence of random scale constructions (2018, background): “Nolde (2014) provides an interpretation of extremal dependence in terms of a gauge function (see also Balkema and Nolde (2010) and Balkema and Embrechts (2007)), which, loosely speaking, corresponds to level sets of the density in lighttailed margins.”
• Copulas: A Personal View (2009, unknown): “A more geometric approach to MEVT is given in Balkema and Embrechts [3]; in that theory, copulas only appear marginally.”
• Triangular array limits for continuous time random walks (2008, background): “A multivariable theory of regular variation is developed in [37], and applications to finance are suggested in [7,38].”