Affiner les résultats

Multivariate extremes and the aggregation of dependent risks: examples and counter-examples

Embrechts, Paul ; Lambrigger, Dominik ; Wüthrich, Mario

In: Extremes, 2009, vol. 12, no. 2, p. 107-127

Extreme VaR scenarios in higher dimensions

Embrechts, Paul ; Höing, Andrea

In: Extremes, 2006, vol. 9, no. 3-4, p. 177-192

Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables

Wüthrich, Mario V.

In: ASTIN Bulletin, 2003, vol. 33, no. 1, p. 75-92

Diversification in heavy-tailed portfolios: properties and pitfalls

Mainik, Georg ; Embrechts, Paul

In: Annals of Actuarial Science, 2013, vol. 7, no. 1, p. 26-45

The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

Degen, Matthias ; Embrechts, Paul ; Lambrigger, Dominik D.

In: ASTIN Bulletin, 2007, vol. 37, no. 2, p. 265-291

Analysis of the Expected Shortfall of Aggregate Dependent Risks

Alink, Stan ; Löwe, Matthias ; Wüthrich, Mario V.

In: ASTIN Bulletin, 2005, vol. 35, no. 1, p. 25-43

Hedging and risk measurement for option portfolios

Fierli, Francesco ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO005.

In the first part of this work we address the problem of parameter misspecification in a generic class of stochastic volatility models. We extend the approach proposed by Avellaneda, Levy and Paràs (1995) (hereafter ALP) by moving from a framework with uncertain volatility to the uncertainty on volatility process parameters. We assume that parameter values of the stochastic volatility model are...