3 citations · 5 across the 11 of their papers we have counts for
11 papers
Bias-corrected empirical likelihood-based inference for the tail index under heavy-tailed models
Haodi Liang, Natalia Nolde
The tail index parameter of heavy-tailed probability models plays a key role in characterizing the tail decay of the underlying distribution function and is often involved in extra…
Modelling peaks over thresholds in panel data: a two-level grouped panel generalized Pareto regression
Zefan Liu, Natalia Nolde
Panel data arise in a wide range of application areas, and developing modelling methods for extreme values under such a setup is essential for reliable risk assessment and manageme…
Reverse stress testing via multivariate modeling with vine copulas
Menglin Zhou, Natalia Nolde
As an important tool in financial risk management, stress testing aims to evaluate the stability of financial portfolios under some potential large shocks from extreme yet plausibl…
Margin-closed regime-switching multivariate time series models
Lin Zhang, Harry Joe, Natalia Nolde
A regime-switching multivariate time series model which is closed under margins is built. The model imposes a restriction on all lower-dimensional sub-processes to follow a regime-…
Margin-closed vector autoregressive time series models
Lin Zhang, Harry Joe, Natalia Nolde
Conditions are obtained for a Gaussian vector autoregressive time series of order , VAR(), to have univariate margins that are autoregressive of order or lower-dimensiona…
An extreme value approach to CoVaR estimation
Natalia Nolde, Chen Zhou, Menglin Zhou
The global financial crisis of 2007-2009 highlighted the crucial role systemic risk plays in ensuring stability of financial markets. Accurate assessment of systemic risk would ena…
On the Selection of Loss Severity Distributions to Model Operational Risk
Daniel Hadley, Harry Joe, Natalia Nolde
Accurate modeling of operational risk is important for a bank and the finance industry as a whole to prepare for potentially catastrophic losses. One approach to modeling operation…
Linking representations for multivariate extremes via a limit set
Natalia Nolde, Jennifer L. Wadsworth
The study of multivariate extremes is dominated by multivariate regular variation, although it is well known that this approach does not provide adequate distinction between random…
Elicitability and backtesting: Perspectives for banking regulation
Natalia Nolde, Johanna F. Ziegel
Conditional forecasts of risk measures play an important role in internal risk management of financial institutions as well as in regulatory capital calculations. In order to asses…
Asymptotic independence for unimodal densities
Guus Balkema, Natalia Nolde
Asymptotic independence of the components of random vectors is a concept used in many applications. The standard criteria for checking asymptotic independence are given in terms of…
Sensitivity of the limit shape of sample clouds from meta densities
Guus Balkema, Paul Embrechts, Natalia Nolde
The paper focuses on a class of light-tailed multivariate probability distributions. These are obtained via a transformation of the margins from a heavy-tailed original distributio…