[Statlist] Extreme value and copula talk

[Johanna Neslehova]

Begin forwarded message:

> From: Catherine Donnelly <catherine.donnelly at math.ethz.ch>
> Date: May 11, 2009 1:52:53 PM GMT+02:00
> To: eth-finance at math.ethz.ch
> Subject: [eth-finance] Extreme value and copula talk
>
> Dear all
>
> There is a talk on Wednesday afternoon by one of our distinguished  
> visitors.  The details are below.
>
> --------------------
> Speaker :  Christian Genest (Laval University, Quebec, Canada)
>
> Title:  Accounting for extreme-value dependence in multivariate data
> --------------------
> Time and date: 14:15-15:00 on Wednesday 13 May
> Location: ETHZ, HG E1.1
>
> --------------------
> Abstract: Fat-tail distributions are common place, particularly in  
> insurance and finance. This phenomenon is well documented and can be  
> analyzed by standard statistical tools.  Extreme-value dependence  
> occurs just as frequently, e.g., between claim data or financial  
> assets. Yet it is seldom recognized and accounted for.  This survey  
> talk will describe how to test, measure and account for extreme  
> dependence from a copula modeling perspective.
> --------------------
>
> Kind regards
> Catherine
>
>
>
>
>
>
> !DSPAM:4a08119a217271804284693!
>
> _______________________________________________
> ETH-Finance mailing list
> ETH-Finance at math.ethz.ch
> https://mailman.math.ethz.ch/mailman/listinfo/eth-finance
>

________________________________________

Dr. Johanna Neslehova

Departement Mathematik
ETH Zürich
Rämistrasse 101
CH-8092 Zürich
Büro: HG G 37.2
Tel: +41 44 632 4763
Fax: +41 44 632 1523
Email: johanna at math.ethz.ch
Url: www.math.ethz.ch/~johanna







	[[alternative HTML version deleted]]