Johanna G. Nešlehová

Research interests  |   Teaching  |   Publications  |   Talks  |   Full CV  |     McGill Statistics Seminar Series

Research Interests

Multivariate analysis, dependence modeling, nonparametric and asymptotic statistics, multivariate extreme value theory, empirical processes, applications to biostatistics, neuroscience and risk management

Teaching

McGill

• Fall term 2012: Nonparametric Statistics (MATH 524), Mathematical Statistics I (MATH 556)
  
• Winter term 2012: Extreme-value Theory (MATH 783)
  
• Fall term 2011: Honours Probability (MATH 356), Mathematical Statistics I (MATH 556)
  
• Fall term 2010: Honours Probability (MATH 356), Mathematical Statistics I (MATH 556)
• Winter term 2010: Statistics (MATH 324)
• Fall term 2009: Honours Probability (MATH 356)

ETH Zurich

• Spring term 2009: An Introduction to Copulas
• Fall term 2008: Quantitative Risk Management
• Spring term 2008: An Introduction to Copulas
• Fall term 2007: Quantitative Risk Management I
• Summer term 2007: Statistical Models for Count Data
• Winter term 2006/2007: Quantitative Risk Management I
• Summer term 2006: Extreme Value Theory
• Summer term 2006: Quantitative Risk Management II
• Summer term 2005: Seminar on Finance and Insurance Mathematics
• Winter term 2004/2005: Risk and Randomness (with P. Embrechts)

Publications

Peer-reviewed articles

1. C. Genest & J. Nešlehová & B. Rémillard (2013): On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data. Journal of Multivariate Analysis, in press.
2. Y.T. Du & J. Nešlehová (2012): A moment-based test for extreme-value dependence. Metrika, in press.
3. E.F. Acar, C. Genest & J. Nešlehová (2012): Beyond simplified pair-copula constructions. Journal of Multivariate Analysis, 110, 74-90.
4. C. Genest, J. Nešlehová & J.-F. Quessy (2012): Tests of symmetry for bivariate copulas. The Annals of the Institute of Statistical Mathematics, 64, 811-834.
5. C. Genest, I. Kojadinovic, J. Nešlehová & J. Yan (2011): A goodness-of-fit test for bivariate extreme-value copulas. Bernoulli, 17, 253-275.
6. C. Genest, J. Nešlehová & N. Ben Ghorbal (2011): Estimators based on Kendall's tau in multivariate copula models. The Australian and New Zealand Journal of Statistics, 53, 157-177.
7. C. Genest, J. Nešlehová & J. Ziegel (2011): Inference in multivariate Archimedean copula models (with discussion). TEST, 20, 223-256
8. M. Larsson & J. Nešlehová (2011): Extremal behavior of Archimedean copulas. Advances in Applied Probability, 43, 195-216.
9. A. Feidt, C. Genest & J. Nešlehová (2010): Asymptotics of joint maxima for discontinuous random variables. Extremes, 13, 35-53.
10. C. Genest, J. Nešlehová & N. Ben Ghorbal (2010): Spearman's footrule and Gini's gamma revisited. Journal of Nonparametric Statistics, 22, 937-954.
11. A. J. McNeil & J. Nešlehová (2010): From Archimedean to Liouville copulas. Journal of Multivariate Analysis, 101, 1772-1790.
12. N. Ben Ghorbal, C. Genest & J. Nešlehová (2009): On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence. The Canadian Journal of Statistics, 37, 534-552.
13. P. Embrechts, J. Nešlehová & M. V. Wüthrich (2009): Additivity properties for value-at-risk under Archimedean dependence and heavy-tailedness. Insurance: Mathematics and Economics, 44, 164-169.
14. C. Genest & J. Nešlehová (2009): Analytical proofs of classical inequalities between Spearman's rho and Kendall's tau. Journal of Statistical Planning and Inference, 139, 3795-3798.
15. A. J. McNeil & J. Nešlehová (2009): Multivariate Archimedean copulas, d-monotone functions and L₁-norm symmetric distributions. The Annals of Statistics, 37, 3059-3097.
16. Z. Landsman & J. Nešlehová (2008): Stein's lemma for elliptical distributions. Journal of Multivariate Analysis, 99, 912-927.
17. C. Genest & J. Nešlehová (2007): A primer on copulas for count data. The Astin Bulletin, 37, 475-515.
18. J. Nešlehová (2007): On rank correlation measures for non-continuous random variables. Journal of Multivariate Analysis, 98, 544-567.
19. V. Chavez-Demoulin, P. Embrechts & J. Nešlehová (2006): Quantitative models for operational risk: Extremes, dependence and aggregation. Journal of Banking and Finance, 30, 2635-2658.
20. J. Nešlehová, P. Embrechts & V. Chavez-Demoulin (2006): Infinite-mean models and the LDA for operational risk. Journal of Operational Risk, 1, 3-25.
21. D. Pfeifer & J. Nešlehová (2004): Modeling and generating dependent risk processes for IRM and DFA. The Astin Bulletin, 34, 333-360.
22. D. Pfeifer & J. Nešlehová (2003): Modeling dependence in finance and insurance: The copula approach. Blätter der deutschen Gesellschaft für Versicherungs- und Finanzmathematik, Bd. XXVI/2.

1. C. Genest & J. Nešlehová (2013): Assessing and modeling asymmetry in bivariate continuous data. In Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow, 10-11 July 2012. Springer, Berlin, in press.
2. C. Genest & J. Nešlehová (2012): Copula modeling for extremes. Encyclopedia of Environmetrics, Second Edition (A. H. El-Shaarawi & W. W. Piegorsch, Editors). Wiley, Chichester, vol. 2, pp. 530-541.
3. C. Genest & J. Nešlehová (2012): Copulas and copula models. Encyclopedia of Environmetrics, Second Edition (A. H. El-Shaarawi & W. W. Piegorsch, Editors). Wiley, Chichester, vol. 2, pp. 541-553.
4. L. J. Powers, J. Nešlehová & D. A. Stephens (2012): Pricing American options in an infinite activity Lévy market: Monte Carlo and deterministic approaches using a diffusion approximation. Book chapter for Numerical methods in finance, R. A. Carmona, P. Del Moral, P. Hu & N. Oudjane (Eds.), Springer Proceedings in Mathematics, Volume 12, 291-321.
5. E. Cramer & J. Nešlehová (2003): (e)Learning the Basics of Probability. Proceedings of the International Statistical Institute, 54th Congress, Berlin.

• E. Cramer & J. Nešlehová (2012): Vorkurs Mathematik. Springer Verlag, Berlin (5th Edition).
• J. Nešlehová (2004): Dependence of non-continuous random variables. Ph.D. Thesis, Carl von Ossietzky Universität Oldenburg, Shaker Verlag, Aachen.
• J. Nešlehová (2000): Asymptotically optimal permutation two sample tests for bivariate survival times under univariate censorship. Diploma Thesis, Universität Hamburg.

• C. Genest & J. Nešlehová (2012): James O. Ramsay: Honorary Member of the SSC / Membre honoraire de la SSC. Liaison, 26 (3), 24-26.

Presentations

1. 40th Annual Meeting of the Statistical Society of Canada, Guelph (ON), June 6, 2012
2. Georgia Institute of Technology, Atlanta (GA), April 13, 2012
3. University of Manitoba, Winnipeg (MB), March 1, 2012
4. McGill University, Montréal (QC), January 17, 2012
5. Séminaire de statistique, Université de Sherbrooke (QC), November 11, 2011
6. Statistics 2011 Canada, Montréal (QC), July 4, 2011
7. Workshop on Copula Modeling and Dependence, Montréal (QC), June 6, 2011
8. 38th Annual Meeting of the Statistical Society of Canada, Québec (QC), May 26, 2010
9. Scientific Day of the DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik), Bremen (Germany), April 30, 2010
10. University of Waterloo, Waterloo (ON), March 26, 2010
11. McGill University, Montréal (QC), February 12, 2010
12. Séminaire de mathématiques actuarielles et financičres de Montréal, Montréal (QC), January 22, 2010
13. Université Laval, Québec (QC), April 14, 2009
14. University of Connecticut, Storrs (CT), January 15, 2009
15. Second Vine Copula Workshop, Delft (The Netherlands), December 17, 2008
16. Swiss Probability Seminar, Bern (Switzerland), November 26, 2008
17. Joint Statistical Meetings, Denver (CO), August 6, 2008
18. Joint SSC-SFdS Meeting, Ottawa (ON), May 29, 2008
19. Université catholique de Louvain, Louvain-la-Neuve (Belgium), April 16, 2008
20. Workshop on Copulae: Theory and Praxis, Berlin (Germany), December 7, 2007
21. Univerzita Karlova v Praze, Prague (Czech Republic), November 7, 2007
22. Universität Heidelberg, Heidelberg (Germany), July 15, 2007
23. 8th Conference on Multivariate Statistics and 6th Conference on Multivariate Distributions with Fixed Marginals, Tartu (Estonia), June 28, 2007
24. (sfi)2 Workshop on Quantitative Risk Management, Norsk Regnesentral, Oslo (Norway), April 24, 2007
25. Cherry Bud Workshop, Keyo University, Tokyo (Japan), March 16, 2007
26. Dresdner Forum zur Versicherungsmathematik, Dresden (Germany), June 23, 2006
27. Heriot-Watt University, Edinburgh (Scotland), December 6, 2006
28. Boston University, Boston (MA), September 12, 2006
29. École polytechnique fédérale de Lausanne, Lausanne (Switzerland), June 2, 2006
30. Universidad Nacional Autónoma de México, México (DF), March 28, 2006
31. Technische Universität Wien, Vienna (Austria), December 6, 2005
32. Risk Day, Zürich (Switzerland), October 21, 2005
33. Universität Bern (Switzerland), June 17, 2005
34. CARISMA Workshop on Extreme Value Theory and Copulas, Brunel University, London (UK), November 29, 2005
35. Implementing AMA for Operational Risk, Federal Reserve Bank of Boston, Boston (MA), May 19, 2005
36. ETH Zürich (Switzerland), January 13, 2005
37. 34th International ASTIN Colloquium, Berlin (Germany), August 25, 2003

Contributed talks

1. Prague Stochastics, Prague (Czech Republic), September 2, 2010
2. Conference for the 50th anniversary of copulas, Lecce (Italy), June 11, 2009
3. 8th German Open Conference on Probability and Statistics, Aachen (Germany), March 6, 2008
4. 8th Conference on Multivariate Statistics and 6th Conference on Multivariate Distributions with Fixed Marginals, Tartu (Estonia), June 27, 2007
5. 36th International ASTIN Colloquium, Zurich (Switzerland), September 4-7, 2005
6. Workshop on the Interface between Quantitative Finance and Insurance, Edinburgh (Scotland), April 4-8, 2005
7. 54th Congress of the International Statistical Institute, Berlin (Germany), August 13-20, 2003