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Document type:
Zeitschriftenaufsatz 
Author(s):
Krause, D.; Scherer, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
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...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Working Paper 
Year:
2015 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Peer reviewed:
Ja 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein 
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