Tail Dependence and Heavy Tailedness in Extreme Risks
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Date
2020-12-18
Authors
Ji, Liuyan
Journal Title
Journal ISSN
Volume Title
Publisher
University of Waterloo
Abstract
Much empirical work has shown that asset returns, exchange rates, operational risks,
large insurance claims exhibit heavy tailedness. Dependence also widely exists
among these risks. An example of the impact of dependence on finance is the
systemic risk observed in the 2008 financial crisis, that is the extreme risks are contagious. In this thesis, we study the tail dependence through copulas with tail order property and then aim to investigate the effects of heavy tailedness and tail dependence for the extreme risks through a so-called Joint Expected Shortfall risk measure.
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Keywords
tail dependence, heavy tail, copula, joint expected shortfall