Minimizing extremes

Yannick Malevergne and Didier Sornette

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Abstract: Portfolio diversification often breaks down in stressed market environments, but the co-movement of asset prices in a tail risk regime may be modelled using a coefficient of tail dependence. Here, Yannick Malevergne and Didier Sornette show how such coefficients can be estimated analytically using the parameters of factor models, while avoiding the problem of under-sampling of extreme values.

Date: 2002-11-01
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Published in Risk, 2002, 15 (11), pp.129-132 P

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02312889

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