A1682
Title: The density function of spectral measure of skewed elliptical distributions
Authors: Moosup Kim - Keimyung University (Korea, South) [presenting]
Abstract: Joint heavy-tail modeling is a fundamental problem in financial risk management, as asset returns often exhibit heavy-tailed behavior and pronounced extremal dependence. These features can be effectively characterized within the framework of multivariate regular variation. Elliptical distributions provide a tractable parametric class for modeling such behavior; however, their inherent symmetry limits their applicability in practice, where empirical data frequently exhibit asymmetry. A parametric model based on skew-elliptical distributions enables the modeling of asymmetric multivariate tail behavior.
