Jianxi Su - Colloquium Speaker

Assistant Professor, Department of Statistics, Purdue University
Thursday, March 2, 2017 - 3:30pm
Colloquium Title: 
Paths and indices of maximal tail dependence: Some new results
Reception at 3:00 p.m. in 241 SH / Talk at 3:30 in 61 SH

Abstract:Jianxi Su

Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-being of firms and is thus of pivotal importance in risk analysis. In this talk, we urge that the classical measures of tail dependence may underestimate the level of tail dependence in copulas. As a remedy, we will introduce a notion of paths of maximal (tail) dependence and utilize the notion to propose several new indices of tail dependence. Some nontrivial properties about the new notions will be explored. In this respect, we found that the Multiple Risk Factor dependence structure is helpful.