We present a new parametric model for the angular measure of a multivariate extreme value distribution. Unlike many parametric models that are limited to the bivariate case, the ï...
It is difficult to find an existing single model which is able to simultaneously model exceedances over thresholds in multivariate financial time series. A new modeling approach, ...
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...
Monitoring extreme values (MAX or MIN) is a fundamental problem in wireless sensor networks (and in general, complex dynamic systems). This problem presents very different algorit...