23 citations · 49 across the 36 of their papers we have counts for
4 papers · 1 filter
Structural Causal Models for Extremes: an Approach Based on Exponent Measures
Shuyang Bai, Fei Fang, Tiandong Wang
We introduce a new formulation of structural causal models for extremes, called the extremal structural causal model (eSCM). Unlike conventional structural causal models, where ran…
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…
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…
Measuring Interlayer Dependence of Large Degrees in Multilayer Inhomogeneous Random Graphs
Zhuoye Han, Tiandong Wang
Accurately capturing interlayer dependence is essential for understanding the structure of complex multilayer networks. We propose an upper tail dependence estimator specifically d…