Showing 2025Show all
2 papers · 1 filter
math.ST2025
Classification of Extremal Dependence in Financial Markets via Bootstrap Inference
Qian Hui, Sidney I. Resnick, Tiandong Wang
Accurately identifying the extremal dependence structure in multivariate heavy-tailed data is a fundamental yet challenging task, particularly in financial applications. Following…
q-fin.PM2025
Systemic Risk Management via Maximum Independent Set in Extremal Dependence Networks
Qian Hui, Tiandong Wang
The failure of key financial institutions may accelerate risk contagion due to their interconnections within the system. In this paper, we propose a robust portfolio strategy to mi…