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Sur La Distribution Limite Du Terme Maximum D'Une Serie Aleatoire
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This article is published in Annals of Mathematics.The article was published on 1943-07-01. It has received 2037 citations till now.read more
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Multivariate dependence of implied volatilities from equity options as measure of systemic risk
TL;DR: In this article, the authors examined the multivariate tail dependence of the implied volatility of equity options as an early warning indicator of systemic risk within the financial sector and found that systemic risk increased globally as early as February 2007, months before the unraveling of the U.S. subprime mortgage crisis and long before the collapse of Lehman Brothers.
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On the tail behaviour of quantile processes
TL;DR: In this paper, the authors consider the asymptotic distributions of suprema of heavily weighted quantile processes and give representations of the limiting random variables in terms of partial sums of independent exponentially distributed random variables and Poisson process.
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Competing Cognitive Resilient Networks
TL;DR: This paper provides a theoretical framework for CCRN and proposes new algorithms for both state-agnostic and stateful solution approaches based on the decision theoretic framework and results indicate that the proposed algorithms outperform some of the most important algorithms known to date.
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Uncertainty analysis in flood hazard assessment: hydrological and hydraulic calibrationThis article is one of a selection of papers published in this Special Issue on Hydrotechnical Engineering.
Pietro Bernardara,Etienne de RocquignyE. de Rocquigny,Nicole Goutal,Aurelie Arnaud,Giuseppe Passoni +4 more
TL;DR: In this paper, a well-assessed uncertainty treatment procedure is applied to carry out a complete flood hazard assessment study to encompass both the hydrological and hydraulic components, and the focus is on modeling the sources of uncertainty via a direct (for discharge) or inverse (for roughness hydraulic coefficient) approach.
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Conditional Extremes in Asymmetric Financial Markets
Natalia Nolde,Jinyuan Zhang +1 more
TL;DR: The global financial crisis of 2007-2009 revealed the great extent to which systemic risk can jeopardize the stability of the entire financial system and an effective methodology to quantify systemic risk was proposed in this article.