The dependence of extreme financial events among different asset classes is taken under consideration on a portfolio level. For this means, a new product group, called cross asset portfolio derivatives, is introduced and explained under the light of related existing products and pricing methods. A classification is presented and features of these products are described. Finally, two modeling and pricing frameworks using multivariate stochastic processes and (hierarchical) copulas, respectively, are sketched.      «

The dependence of extreme financial events among different asset classes is taken under consideration on a portfolio level. For this means, a new product group, called cross asset portfolio derivatives, is introduced and explained under the light of related existing products and pricing methods. A classification is presented and features of these products are described. Finally, two modeling and pricing frameworks using multivariate stochastic processes and (hierarchical) copulas, respectively,...     »