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Title:

Bernoulli and tail-dependence matrices: A simple numerical test

Document type:
Zeitschriftenaufsatz
Author(s):
Krause, D.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
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
Journal title:
Working Paper
Year:
2015
Reviewed:
ja
Language:
en
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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