Joint Econometrics-Finance Lunch Seminar: Jevgenijs Ivanovs, Aarhus University and CREATES

Title: Robust bounds in multivariate extremes

2018.01.08 | Bodil Krog

Date Tue 20 Feb
Time 12:05 13:05
Location Fuglesangs Allé 4, 8210 Aarhus V, building 2630(K), room 115

Presenter: Jevgenijs Ivanovs, Aarhus University and CREATES

Title: Robust bounds in multivariate extremes (Joint work with Sebastian Engelke, University of Geneva)

Abstract: Multivariate extreme value theory provides an asymptotically justified framework for estimation of joint exceedances in regions where few or no observations are available. The strength of dependence is crucial for a reliable estimation and it is typically modelled by a parametric family of spectral distributions. In this talk I will discuss bounds that are robust against misspecification of the dependence model. These are found by optimizing the statistic of interest over all dependence models within some neighbourhood of the reference model. Certain relaxation of the bounds results in surprisingly simple and explicit expressions. Our experiments show the effectiveness of the proposed bounds compared to classical confidence bounds when the model is misspecified. Additionally, I will illustrate the approach using financial data and will discuss the robust bounds in estimation of V@R of a portfolio.

The 'Accounting and Finance' and 'Econometrics and Business Statistics' Sections arrange lunch seminars on a regular basis. The speakers are usually section members, mostly PhD students and postdocs. The speakers can also be visiting PhD students or professors. Each lunch seminar is followed by a discussion of the paper presented.

Organizer: Niels Strange Grønborg

Joint Econometrics-Finance Lunch Seminars