Modelling, Estimation and Visualization of Multivariate Dependence for Risk Management

Dependence modelling and estimation is a key issue in the
assessment of portfolio risk. When measuring extreme risk in terms
of the Value-at-Risk, the multivariate normal model with linear
correlation as its natural dependence measure is by no means an
ideal model. We suggest a large class of models and a new
dependence function which allows us to capture the complete extreme
dependence structure of a portfolio. We also present a simple
nonparametric estimation procedure. To show our new method at work
we apply it to a financial data set of zero coupon swap rates and
estimate the extreme dependence in the data.