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Abstract: Denote the loss return on the equity of a financial institution as X and that of the entire market as Y . For a given very small value of p > 0, the marginal expected shortfall (MES) is defined as E(X | Y > QY (1−p)), where QY (1−p) is the (1−p)-th quantile of the distribution of Y . The M
AMS 2000 subject classifications. Primary 62G32, 62G05; secondary 60G70, 60F05.
Consider n i.i.d. random vectors on R2, with unknown, common distribution function F.Under a sharpening of the extreme value condition on F, we derive a weighted approximation of the corresponding tail copula process.Then we construct a test to check whether the extreme value condition holds by comp
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