Tail Dependence and Heavy Tailedness in Extreme Risks
| dc.contributor.author | Ji, Liuyan | |
| dc.date.accessioned | 2020-12-18T21:26:23Z | |
| dc.date.available | 2021-04-18T04:50:07Z | |
| dc.date.issued | 2020-12-18 | |
| dc.date.submitted | 2020-12-14 | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/10012/16581 | |
| dc.language.iso | en | en |
| dc.pending | false | |
| dc.publisher | University of Waterloo | en |
| dc.subject | tail dependence | en |
| dc.subject | heavy tail | en |
| dc.subject | copula | en |
| dc.subject | joint expected shortfall | en |
| dc.title | Tail Dependence and Heavy Tailedness in Extreme Risks | en |
| dc.type | Master Thesis | en |
| uws-etd.degree | Master of Mathematics | en |
| uws-etd.degree.department | Statistics and Actuarial Science | en |
| uws-etd.degree.discipline | Statistics | en |
| uws-etd.degree.grantor | University of Waterloo | en |
| uws-etd.embargo.terms | 4 months | en |
| uws.comment.hidden | Dear Sir/ Madam, This is a MMath thesis for your review. Thank you for your help! Wish you a great holiday! Best, Liuyan | en |
| uws.contributor.advisor | Tan, Ken Seng | |
| uws.contributor.advisor | Yang, Fan | |
| uws.contributor.affiliation1 | Faculty of Mathematics | en |
| uws.peerReviewStatus | Unreviewed | en |
| uws.published.city | Waterloo | en |
| uws.published.country | Canada | en |
| uws.published.province | Ontario | en |
| uws.scholarLevel | Graduate | en |
| uws.typeOfResource | Text | en |