| A useful way to measure the risk of a portfolio of financial securities is by the probability that the loss on a given portfolio of assets will be larger than some threshold. Rather than estimating this probability separately for every possible portfolio, a more efficient way is to start from a joint model for all available assets. Since the number of assets is typically high, the technical challenge is therefore the analysis of extremes of a high-dimensional time series. This requires a combination and extension of available techniques from multivariate analysis, time series analysis and statistics of extremes. |
