44 citations · 54 across the 4 of their papers we have counts for
5 papers
Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
Georg Mainik
This paper studies convergence properties of multivariate distributions constructed by endowing empirical margins with a copula. This setting includes Latin Hypercube Sampling with…
Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz
Georg Mainik, Georgi Mitov, Ludger Rüschendorf
Using daily returns of the S&P 500 stocks from 2001 to 2011, we perform a backtesting study of the portfolio optimization strategy based on the extreme risk index (ERI). This metho…
On estimating extremal dependence structures by parametric spectral measures
Jan Beran, Georg Mainik
Estimation of extreme value copulas is often required in situations where available data are sparse. Parametric methods may then be the preferred approach. A possible way of defini…
On dependence consistency of CoVaR and some other systemic risk measures
Georg Mainik, Eric Schaanning
This paper is dedicated to the consistency of systemic risk measures with respect to stochastic dependence. It compares two alternative notions of Conditional Value-at-Risk (CoVaR)…
Ordering of multivariate probability distributions with respect to extreme portfolio losses
Georg Mainik, Ludger Rüschendorf
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular…