Natalia Nolde - Colloquium Speaker

Professor, Department of Statistics, University of British Columbia
Date: 
Thursday, November 16, 2023 - 3:15pm
Colloquium Title: 
Tail risk in the tail: Estimating high quantiles when a related variable is extreme

We consider the problem of high quantile estimation conditional on a related variable being extreme. The problem set-up is of interest in a number of applications to evaluate tail risk of a focal variable in the tail of a conditioning variable. A primary example is the assessment of systemic risk in financial markets using a risk measure known as the conditional value-at-risk (CoVaR). The proposed estimator is based on a novel approach to handle the bivariate tail dependence structure through an adjustment factor that can be used in conjunction with univariate high quantile estimation techniques. We establish the asymptotic behaviour of the estimator under relatively weak assumptions, and illustrate its performance via simulation studies and a data application.

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Topic: Colloquium -- Department of Statistics and Actuarial Science -- University of Iowa
Time: Nov 16, 2023 03:15 PM Central Time (US and Canada)

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