Extreme and Systemic Risk Analysis: A Loss Distribution Approach - Tapa blanda

Sinopsis

1     Introduction

References

 

2      Individual and Extreme Risk

2.1    The Loss Distribution

2.2       Extreme Value Theory and Statistics

            2.2.1    Distributions of Maxima

2.2.2         Distribution of Exceedances

2.2.3         Point Process Characterization of Extremes

2.2.4         Modeling the r Largest Order Statistics

2.2.5         Temporal Dependence and Non-Stationarity Issues

2.3       Risk Management using Loss Distributions

References

 

3     Systemic Risk and Dependencies

3.1   Dependency Measures

3.2       Multivariate Dependency Modelling with Copulas

3.3       A Joint Framework Using Sklar's Theorem: Copula's as a network property

3.4       Differences and Similarities between Extreme and Systemic Risk Management

References

 

4     Application

4.1    Modelling Applications

4.1.1         Hierarchical Coupling: Flood Risks on the Regional Level.

4.1.2         Minimax and Structural Coupling: Pan-European Flooding

4.1.3         Vine Coupling: Large Scale Drought Risk

4.2       Measuring and Managing Individual and Systemic Risk

4.2.1         Risk-Layering on the Regional Level

4.2.2         An Application to the EU Solidarity Fund

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