Seminário

Block tail dependence

Sala 6.4.30, FCUL, Lisboa

Marta Ferreira
Departamento de Matemática, Universidade do Minho

An important issue in the context of extreme risk dependence is to assess the systemic stability. The fragility of a system has been addressed to the fragility index (FI). In this work we generalize this concept in order to evaluate the stability of a stochastic system divided into blocks.

11h00
CEAUL | Centro de Estatística e Aplicações da Universidade de Lisboa