Tail risk and style dependence in the fund industry: a multivariate extreme value approach

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Scientific conference in universities or research centers (Scientific conferences in universities or research centers)

Mhalla, Linda; Hambuckers, Julien; Lambert, Marie

2019

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https://hdl.handle.net/2268/239181

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Keywords :

tail risk; hedge funds; multivariate extreme value theory

Disciplines :

Quantitative methods in economics & management

Author, co-author :

Mhalla, Linda; HEC Montreal

Hambuckers, Julien ; Université de Liège - ULiège > HEC Liège : UER > Finance de Marché

Lambert, Marie ; Université de Liège - ULiège > HEC Liège : UER > Analyse financière et finance d'entreprise

Language :

English

Title :

Tail risk and style dependence in the fund industry: a multivariate extreme value approach

Publication date :

June 2019

Event name :

HEC Lausanne Operation Research Seminar

Event date :

21-06-2019

Audience :

International

Available on ORBi :

since 05 September 2019

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