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Correlation and Dependence in Risk Management: Properties and Pitfalls BOOK CHAPTER published 10 January 2002 in Risk Management |
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Copulas and Dependence Modeling BOOK CHAPTER published 23 April 2020 in Handbook of Financial Risk Management |
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Motivation for Heavy‐Tailed Models OTHER published 20 February 2015 in Advances in Heavy Tailed Risk Modeling |
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Heavy‐Tailed Model Class Characterizations for LDA OTHER published 20 February 2015 in Advances in Heavy Tailed Risk Modeling |
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Kendall’s Tau for Elliptical Distributions BOOK CHAPTER published 2003 in Credit Risk |
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Flexible Heavy‐Tailed Severity Models: α‐Stable Family OTHER published 20 February 2015 in Advances in Heavy Tailed Risk Modeling |
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Flexible Heavy‐Tailed Severity Models: Tempered Stable and Quantile Transforms OTHER published 20 February 2015 in Advances in Heavy Tailed Risk Modeling |
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Systemic Risk Modeling with Lévy Copulas JOURNAL ARTICLE published 5 June 2021 in Journal of Risk and Financial Management |
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Heavy-tailed distributional model for operational losses JOURNAL ARTICLE published 2007 in The Journal of Operational Risk |
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Front Matter OTHER published 20 February 2015 in Advances in Heavy Tailed Risk Modeling |
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Supplemental Images OTHER published 20 February 2015 in Advances in Heavy Tailed Risk Modeling |
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Index OTHER published 20 February 2015 in Advances in Heavy Tailed Risk Modeling |
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References OTHER published 20 February 2015 in Advances in Heavy Tailed Risk Modeling |
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Introduction BOOK CHAPTER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management |
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BACK MATTER OTHER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management |
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Random Variables BOOK CHAPTER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management |
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FRONT MATTER OTHER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management |
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Pricing Vulnerable Options With Copulas JOURNAL ARTICLE published 1 April 2003 in The Journal of Risk Finance |
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Large Deviations for a Class of Multivariate Heavy-Tailed Risk Processes Used in Insurance and Finance JOURNAL ARTICLE published 2 May 2021 in Journal of Risk and Financial Management |
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Extreme Value Theory BOOK CHAPTER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management |