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Yuri Salazar

Photo of Yuri Salazar
  • Title: Doctor
  • Position: Postdoctoral Research Fellow - Centre for Financial Risk

Contact Details

Areas of Expertise

  • Dependence analysis using copulas
  • Tail dependence and extreme value theory
  • Portfolio optimization and asset allocation
  • Credit risk and default probabilities


  • Doctor of Philosophy (PhD): Computational Finance (University of Essex)
  • Master of Science: Mathematical Sciences (UNAM)
  • Bachelor of Science: Actuarial Sciences (UNAM)

Research areas

  • Multivariate extreme dependence in financial indices
  • Mathematical modelling for risk management
  • Parametric, semiparametric and nonparametric coplua models


journal toggle icon open Refereed Journal Articles

  • Salazar, Y. & Ng, W 2014 Nonparametric Estimation of General Multivariate Tail Dependence and Applications to Financial Time Series, Statistical Methods & Applications, In press, (DOI) 10.1007/s10260-014-0274-7
  • Salazar, Y. 2014 General Multivariate Dependence using Associated Copulas, REVSTAT-Revista Portuguesa de Estati­stica (forthcoming)
  • Salazar, Y.& Ng, W.L. (2013): Negative Tail Dependence and Nonparametric Copulas Applied to Volatility and Stock Index Returns, Communications in Statistics-Simulation and Computation, Vol. 42, Ed. 3.
  • Salazar, Y. and Ng, W.L. (2012), Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns, Communications in Statistics-Simulation and Computation, In Press.

Submitted and Working Papers:

  •  Salazar, Y. (2012): General Multivariate Dependence using Associated Copulas
  • Salazar, Y. and Ng, W.L.  (2012): Analysing the Tail Dependence Structure Between Gold and Other Financial Assets with Nonparametric Copula Estimators.
  • Salazar, Y. (2012): General Multivariate Tail Dependence in Vine Copulas and Explicit Copula Models, Working Paper.