2018
DOI: 10.48550/arxiv.1802.01936
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Hidden regular variation, copula models, and the limit behavior of conditional excess risk measures

Bikramjit Das,
Vicky Fasen-Hartmann

Abstract: Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and asymptotic tail independence in the joint behavior play a fundamental role. The notion of hidden regular variation has the advantage that it models both properties: asymptotic tail independence as well as heavy tails. An alternative approach to addressing these features is via copu… Show more

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“…Indeed that phenomenon renders the approximations of both MME and MES interesting and challenging. Under hidden regular variation assumption on (Z 1 , Z 2 ) the recent publications [1,5] consider approximations of MME and MES under some additional asymptotic conditions. However the Gaussian setup is not covered therein since the marginal distributions are in our setup light-tailed.…”
Section: Introductionmentioning
confidence: 99%
“…Indeed that phenomenon renders the approximations of both MME and MES interesting and challenging. Under hidden regular variation assumption on (Z 1 , Z 2 ) the recent publications [1,5] consider approximations of MME and MES under some additional asymptotic conditions. However the Gaussian setup is not covered therein since the marginal distributions are in our setup light-tailed.…”
Section: Introductionmentioning
confidence: 99%