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DESCRIPTION:✒️ TITLE / TITRE\n\nTales from the Tails: Extreme Value Inferen
 ce for Systemic Risk.\n\n \n\n📄 ABSTRACT / RÉSUMÉ\n\nFrom a macroprudentia
 l view\, systemic risk arises from the gradual buildup of financial imbala
 nces across the system. In probabilistic terms\, these vulnerabilities man
 ifests in the extremal dependence structure of the system. In this talk\, 
 I present an extreme value framework for characterizing extremal dependenc
 e in multivariate distributions based on tail expansions of copulas. This 
 framework yields a new approach to Conditional Value-at-Risk (CoVaR)\, one
  of the most widely used measures of systemic risk. Our work characterizes
  the possible tail regimes of CoVaR through the limiting behavior of the c
 opula conditional distribution and proves that these regimes can be determ
 ined by the joint tail expansions of the copula. Building on this characte
 rization\, we also propose a minimum-distance estimation approach for CoVa
 R and establishes its asymptotic properties. The talk also features an emp
 irical study of systemic risk in the U.S. market from 2000 to 2025. It sho
 ws how the proposed methodology can reveal changes in systemic risk\, and 
 help distinguish the systemic roles of different assets and institutions. 
 The findings have useful implications for macroprudential surveillance and
  risk management.\n\nSPEAKER / CONFERENCIER\n\nDr. Xiaoting Li is an Assis
 tant Professor in the Department of Statistics at the University of Manito
 ba. She received the Ph.D. in Statistics from the University of British Co
 lumbia in 2025 under the supervision of Dr. Harry Joe. Her research develo
 ps statistical theory and methods for multivariate extremes. Her doctoral 
 work\, supported by the NSERC Doctoral Scholarship and the Scotiabank Risk
  Analytics Initiative\, studied multivariate extreme value inference for s
 ystemic risk in financial systems. She is the recipient of the 2025 Marsha
 ll Prize for Excellence in Statistics and the Lorraine Schwartz Prize in P
 robability. Dr. Li is also a proud ɬ�﷬ alumna\, where she completed the
  Joint Honours bachelor’s program and later earned her M.Sc. in Statistics
  under the supervision of Dr. Christian Genest\, who introduced her to the
  research on copulas and extreme value theory.\n\n📍 PLACE / LIEU \n	Hybride
  - CRM\, Salle / Room 5340\, Pavillon André Aisenstadt\n
DTSTART:20260410T193000Z
DTEND:20260410T203000Z
SUMMARY:Xiaoting Li (University of Manitoba)
URL:/mathstat/channels/event/xiaoting-li-university-ma
 nitoba-372287
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