Multivariate Extremes at Work for Portfolio Risk Measurement

  title={Multivariate Extremes at Work for Portfolio Risk Measurement},
  author={Eric Bouy{\'e}},
This paper proposes a methodology to provide risk measures for portfolios during extreme events. The approach is based on splitting the multivariate extreme value distribution of the assets of the portfolio into two parts: the distributions of each asset and their dependence function. The estimation problem is also investigated. Then, stress-testing is applied for market indices portfolios and Monte-Carlo based risk measures – Value-at-Risk and Expected Shortfall – are provided. ¤Address: HSBC… CONTINUE READING


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