Metric embeddings of tail correlation matrices

EI seminar
Person riding a bicycle on the campus Woudestein near the pond
Speaker
Prof. Anja Janssen
Date
Thursday 28 Mar 2024, 12:00 - 13:00
Type
Seminar
Room
C2-6
Location
Campus Woudestein
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Person riding a bicycle on the campus Woudestein near the pond

The assessment of risks associated with multivariate random vectors relies heavily on understanding their extremal dependence, crucial in evaluating risk measures for financial or insurance portfolios.

A widely-used metric for assessing tail risk is the tail correlation matrix of tail correlation coefficients. Among the exploration of structural properties of the tail correlation matrix the so-called realization problem of deciding whether a given matrix is the tail correlation matrix of some underlying random vector has recently received some attention. 

The entries of the tail correlation matrix are closely related to a useful distance measure on the space of Frechet-random variables, named spectral distance and first introduced in Davis & Resnick (1993). We analyze the properties of a related semimetric and show that it has the special property of being embeddable both in vector and function space, equipped with the respective sum norm. Notably, these embeddings bear a direct relationship with the realization of specific tail dependence structures via max-stable random vectors. Particularly, an embedding in vector space, employing so-called line metrics, provides a representation through a max-stable mixture of so-called Tawn-Molchanov models, s. also Fiebig, Strokorb & Schlather (2017). 

Leveraging this framework, we revisit the realization problem, affirming a conjecture by Shyamalkumar & Tao (2020) regarding its NP-completeness.

This talk is based on joint work with Sebastian Neblung (University of Hamburg) and Stilian Stoev (University of Michigan).

Registration

You can sign up for this seminar by sending an email to eb-secr@ese.eur.nl. The lunch will be provided (vegetarian option included).

Organiser

See also

Saddlepoint techniques for the statistical analysis of time series

Davide La Vecchia (University of Geneva)
Spring in Rotterdam

The Anatomy of Machine Learning-Based Portfolio Performance

Christian Montes Schutte, Aarhus University
Christian Montes Schutte smiling at the camera
More information

Do you want to know more about the event? Contact the secretariat Econometrics at eb-secr@ese.eur.nl.

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