Extreme dependence for multivariate data

Damien Bosc () and Alfred Galichon ()
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Alfred Galichon: ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique

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Abstract: This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the cross-covariance matrices, we also generalize the notion of positive upper dependence. We then propose a means to quantify the strength of the dependence between two given multivariate series and to increase this strength while preserving the marginal distributions. This allows for the design of stress-tests of the dependence between two sets of financial variables that can be useful in portfolio management or derivatives pricing. [Résumé éditeur]

Keywords: multivariate dependence; extreme dependence; multivariate stress tests (search for similar items in EconPapers)
Date: 2014
Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-03470461
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Published in Quantitative Finance, 2014, 14 (7), pp.1187 - 1199. ⟨10.1080/14697688.2014.886777⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03470461

DOI: 10.1080/14697688.2014.886777

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