Tail Dependence of the Gaussian Copula Revisited

Edward Furman, Alexey Kuznetsov, Jianxi Su, Ricardas Zitikis
2016 Social Science Research Network  
Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-being of firms and is thus of pivotal importance in risk analysis.
doi:10.2139/ssrn.2558675 fatcat:jsvboafpbffbtja57ro2rquwma