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math.ST2022★ 3 cited
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…
math.ST2020
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…