Multivariate Risk: From Univariate to High-Dimensional Graphical Models
We present a comparison of different univariate and multivariate extreme value risk models. Our focus is on exploring how these can be used to model financial risk. We use simulated as well as real data and compare deterministic and cross-validation threshold selection methods for the GP model to a GEV model. For comparison, we carry out a bivariate analysis using copulas. Finally, an undirected g
