B0889
Title: The tail risk projection: From multivariate risk measures to projection pursuit
Authors: Tomer Shushi - Ben Gurion University of the Negev (Israel) [presenting]
Abstract: The Tail Risk Projection (TRP) is defined and applications are shown for producing multivariate risk measures that take into account the dependence structure of the risks when the focus on extreme loss events. The multivariate risk measures could facilitate a systemic risk measure with explicit expressions for exponential dispersion models subject to any pre-specified systemic event. We then examine the use of Projection Pursuit as part of the risk measurement process.
