44 citations · 54 across the 4 of their papers we have counts for
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q-fin.RM2015★ 10 cited
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…
q-fin.RM2012
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)…
q-fin.RM2010
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…