Risk contagion under regular variation and asymptotic tail independence.
Bikramjit DasVicky Fasen-HartmannPublished in: J. Multivar. Anal. (2018)
Keyphrases
- risk management
- high risk
- risk measures
- rates of convergence
- empirical risk
- dependence structure
- diffusion process
- risk factors
- heavy tailed
- financial markets
- large deviations
- portfolio management
- risk assessment
- database
- social influence
- conditional independence
- decision support system
- expected values
- machine learning
- databases