We analyze in this paper the implications of asymmetric dependence for the management of
extreme risk. We show that in the presence of asymmetric dependence, a portfolio model …

In practice, risk forecasts are obtained by risk measures based on a given probability
measure on a measurable space. In our study, we consider the probability measures as …

We develop a portfolio risk model that uses high-frequency data to forecast the loss surface,
which is the set of loss distributions at future time horizons. Our model uses a fully …

We consider portfolios whose returns depend on at least three variables and show the effect
of the correlation structure on the probabilities of the extreme outcomes of the portfolio …

Recent portfolio choice asset pricing and option valuation models highlight the importance
of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations …

The analysis of extremes in financial return series is often based on the assumption of
independent and identically distributed observations. However, stylized facts such as …

Although several types of options on multiple assets are popular in today's financial markets,
valuing multiasset options is still a challenge in finance. The standard framework of …

A central problem for regulators and risk managers concerns the risk assessment of an
aggregate portfolio defined as the sum of d individual dependent risks X i. This problem is …

In the finance literature, cross-sectional dependence in extreme returns of risky assets is
often modelled implicitly assuming an asymptotically dependent structure. If the true …

The recent financial crisis has accentuated the fact that extreme outcomes have been
overlooked and not dealt with adequately. While extreme value theories have existed for a …