{"id":14005,"date":"2025-07-07T14:59:02","date_gmt":"2025-07-07T18:59:02","guid":{"rendered":"http:\/\/dev.laplaceinsights.com\/?page_id=14005"},"modified":"2025-07-11T13:31:28","modified_gmt":"2025-07-11T17:31:28","slug":"research-tail-risk-modeling","status":"publish","type":"page","link":"https:\/\/dev.laplaceinsights.com\/fr\/research-tail-risk-modeling\/","title":{"rendered":"Research – Tail Risk Modeling\u200b"},"content":{"rendered":"
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Our Scientific Publications<\/h2>\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t
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Estimator Correction for the Pickands function and Bayesian Estimator <\/h2>\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t
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Kevin Chalifoux<\/p>

Master’s Thesis in Statistics, University of Montreal 2023<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t

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This thesis proposes a correction method and a Bayesian estimator for the Pickands dependence function, improving accuracy and ensuring mathematical validity in modeling extreme events. Applications in finance include modeling joint extreme events such as simultaneous market crashes or co-movements in asset returns, improving risk assessment in portfolio management, and stress testing by accurately capturing tail dependencies between financial instruments. (In French)<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t

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\n\t\t\t\t\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t\t<\/div>","protected":false},"excerpt":{"rendered":"

Our Scientific Publications Regime Intelligence\u200b Probabilistic Forecasting\u200b Neural Networks\u200b Causal Relationships\u200b Model Interpretation\u200b Tail Risk Modeling\u200b TAIL RISK MODELING Estimator Correction for the Pickands function and Bayesian Estimator Kevin Chalifoux Master’s Thesis in Statistics, University of Montreal 2023 This thesis proposes a correction method and a Bayesian estimator for the Pickands dependence function, improving accuracy …<\/p>\n

Research – Tail Risk Modeling\u200b<\/span> Lire la suite\u00a0\u00bb<\/a><\/p>","protected":false},"author":38,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"elementor_header_footer","meta":{"footnotes":""},"_links":{"self":[{"href":"https:\/\/dev.laplaceinsights.com\/fr\/wp-json\/wp\/v2\/pages\/14005"}],"collection":[{"href":"https:\/\/dev.laplaceinsights.com\/fr\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/dev.laplaceinsights.com\/fr\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/dev.laplaceinsights.com\/fr\/wp-json\/wp\/v2\/users\/38"}],"replies":[{"embeddable":true,"href":"https:\/\/dev.laplaceinsights.com\/fr\/wp-json\/wp\/v2\/comments?post=14005"}],"version-history":[{"count":23,"href":"https:\/\/dev.laplaceinsights.com\/fr\/wp-json\/wp\/v2\/pages\/14005\/revisions"}],"predecessor-version":[{"id":14322,"href":"https:\/\/dev.laplaceinsights.com\/fr\/wp-json\/wp\/v2\/pages\/14005\/revisions\/14322"}],"wp:attachment":[{"href":"https:\/\/dev.laplaceinsights.com\/fr\/wp-json\/wp\/v2\/media?parent=14005"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}