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Titel:

Bernoulli and tail-dependence matrices: A simple numerical test

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Krause, D.; Scherer, M.
Nicht-TUM Koautoren:
ja
Kooperation:
international
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
Zeitschriftentitel:
Working Paper
Jahr:
2015
Reviewed:
ja
Sprache:
en
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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