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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Krause, D.; Scherer, M. 
Titel:
Bernoulli and tail-dependence matrices: A simple numerical test 
Abstract:
In a recent paper [Embrechts et al., 2015], the question “When is a given matrix [...] the matrix of pairwise (either lower or upper) tail-dependence coefficients?” is investigated and a link to Bernoulli-compatible matrices is provided. This question is interesting, e.g., for model building and stress testing in the financial industry. As part of their conclusions, the authors state that “[...] an interesting open question is how one can (theoretically or numerically) determine whether a given...    »
 
Zeitschriftentitel:
Working Paper 
Jahr:
2015 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik