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Article Dans Une Revue Risk Année : 2002

Minimizing extremes

Yannick Malevergne
Didier Sornette
  • Fonction : Auteur

Résumé

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 coefficients can be estimated analytically using the parameters of factor models, while avoiding the problem of under-sampling of extreme values.
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Dates et versions

hal-02312889 , version 1 (11-10-2019)

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  • HAL Id : hal-02312889 , version 1

Citer

Yannick Malevergne, Didier Sornette. Minimizing extremes. Risk, 2002, 15 (11), pp.129-132 P. ⟨hal-02312889⟩

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