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09/12/2023
Tail Gini Functional under Asymptotic Independence
Tail Gini functional is a measure of tail risk variability for systemic ...
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12/20/2021
Adapting the Hill estimator to distributed inference: dealing with the bias
The distributed Hill estimator is a divide-and-conquer algorithm for est...
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08/03/2021
Distributed Inference for Tail Empirical and Quantile Processes
The availability of massive datasets allows for conducting extreme value...
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07/21/2021
Modeling and Decoupling Systemic Risk
Identifying systemic risk patterns in geopolitical, economic, financial,...
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