3 papers
stat.ME2026
Measuring Extreme Tail Association
Bikramjit Das, Xiangyu Liu
Simultaneous occurrences of extreme events need not imply symmetric or reciprocal tail dependence. However, most existing measures of extremal dependence are inherently symmetric a…
math.ST2025
Asymptotic independence in higher dimensions and its implications on risk management
Bikramjit Das, Vicky Fasen-Hartmann
In the study of extremes, the presence of asymptotic independence signifies that extreme events across multiple variables are probably less likely to occur together. Although well-…
q-fin.RM2025
Measuring risk contagion in financial networks with CoVaR
Bikramjit Das, Vicky Fasen-Hartmann
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financia…