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q-fin.RM2016
Multiple risk factor dependence structures: Copulas and related properties
Jianxi Su, Edward Furman
Copulas have become an important tool in the modern best practice Enterprise Risk Management, often supplanting other approaches to modelling stochastic dependence. However, choosi…
q-fin.RM2016
A form of multivariate Pareto distribution with applications to financial risk measurement
Jianxi Su, Edward Furman
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2…