STA 290 Seminar: Satish Iyengar

STA 290 Seminar Series

Thursday, February 11th, 4:10pm, MSB 1147 (Colloquium Room)

Refreshments at 3:30pm in MSB 4110 (Statistics Lounge)

Speaker:          Satish Iyengar (University of Pittsburgh)

Title:                "Lower Tail Independence of Hitting Times of Two-Dimensional Diffusions"

Abstract:          The coefficient of tail dependence is a quantity that measures how extreme events in one component of a bivariate distribution depend on extreme events in the other component. It is well-known that the Gaussian copula has zero tail dependence, a shortcoming for its application in credit risk modeling and quantitative risk management in general. We show that this property is shared by the joint distributions of hitting times of bivariate (uniformly elliptic) diffusion processes. This is joint work with David Saunders and Lung Kwan Tsui.