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math.ST2023★ 1 cited
Asymptotic theory for Bayesian inference and prediction: from the ordinary to a conditional Peaks-Over-Threshold method
Clément Dombry, Simone A. Padoan, Stefano Rizzelli
The Peaks Over Threshold (POT) method is the most popular statistical method for the analysis of univariate extremes. Even though there is a rich applied literature on Bayesian inf…
math.ST2023
Marginal expected shortfall inference under multivariate regular variation
Simone A. Padoan, Stefano Rizzelli, Matteo Schiavone
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against se…