Stress-Testing for Portfolios of Commodity Futures with Extreme Value Theory and Copula Functions

Lecture Notes in Economics and Mathematical Systems - Computational Management Science ◽

10.1007/978-3-319-20430-7_3 ◽

2016 ◽

pp. 17-22

Author(s):

Pierre-Antoine Mudry ◽

Florentina Paraschiv

Keyword(s):

Extreme Value Theory ◽

Stress Testing ◽

Value Theory ◽

Extreme Value ◽

Commodity Futures ◽

Copula Functions

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Commodity Futures in Asset Allocation: A New Approach with the Extreme Value Theory

SSRN Electronic Journal ◽

10.2139/ssrn.715641 ◽

2005 ◽

Author(s):

Shengwu Du

Keyword(s):

Extreme Value Theory ◽

Asset Allocation ◽

Value Theory ◽

Extreme Value ◽

Commodity Futures ◽

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Extreme Value Theory and Application to Market Shocks for Stress Testing and Extreme Value at Risk

Multi-Asset Risk Modeling ◽

10.1016/b978-0-12-401690-3.00013-5 ◽

2014 ◽

pp. 437-476

Author(s):

Morton Glantz ◽

Robert Kissell

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Stress Testing ◽

Value Theory ◽

Extreme Value ◽

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Estimating the Marginal Contribution to Systemic Risk by A CoVaR-model Based on Copula Functions and Extreme Value Theory

Economic Notes ◽

10.1111/ecno.12095 ◽

2017 ◽

Vol 47 (1) ◽

pp. 69-112 ◽

Author(s):

Annalisa Di Clemente

Keyword(s):

Extreme Value Theory ◽

Systemic Risk ◽

Value Theory ◽

Extreme Value ◽

Marginal Contribution ◽

Copula Functions ◽

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Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas

World Economy ◽

10.1111/twec.13123 ◽

2021 ◽

Author(s):

Saiful Izzuan Hussain ◽

Steven Li

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Commodity Futures ◽

Dependence Structure

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Extreme Value Theory and Archimedean Copulas

Scandinavian Actuarial Journal ◽

10.1080/03461230110106534 ◽

2004 ◽

Vol 2004 (3) ◽

pp. 211-228 ◽

Author(s):

Mario V. Wüthrich

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Archimedean Copulas

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Extreme Value Theory and Dependence.

10.21236/ada159138 ◽

1985 ◽

Author(s):

M. R. Leadbetter

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

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Extreme Value Theory for Suprema of Random Variables with Regularly Varying Tail Probabilities.

10.21236/ada179126 ◽

1986 ◽

Author(s):

Tailen Hsing

Keyword(s):

Extreme Value Theory ◽

Random Variables ◽

Value Theory ◽

Extreme Value ◽

Tail Probabilities ◽

Regularly Varying

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Extreme value theory and high quantile convergence

The Journal of Operational Risk ◽

10.21314/jop.2006.009 ◽

2006 ◽

Vol 1 (2) ◽

pp. 51-57 ◽

Author(s):

Mikhail Makarov

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

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Efficient filtering of financial time series and extreme value theory

The Journal of Risk ◽

10.21314/jor.2005.107 ◽

2005 ◽

Vol 7 (2) ◽

pp. 63-84 ◽

Author(s):

Kaj Nyström ◽

Jimmy Skoglund

Keyword(s):

Time Series ◽

Extreme Value Theory ◽

Financial Time Series ◽

Value Theory ◽

Extreme Value ◽

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Modeling extreme returns and asymmetric dependence structures of hedge fund strategies using extreme value theory and copula theory

The Journal of Risk ◽

10.21314/jor.2010.220 ◽

2010 ◽

Vol 13 (2) ◽

pp. 23-55 ◽

Author(s):

Jan Viebig ◽

Thorsten Poddig

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Copula Theory ◽

Asymmetric Dependence ◽

Extreme Returns ◽

Dependence Structures

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