  Recently, the concept of tail dependence has been discussed in financial
applications related to market or credit risk. The multivariate extreme value
theory is a proper tool to measure and model dependence, for example, of large
loss events. A common measure of tail dependence is given by the so-called
tail-dependence coefficient. We present a simple estimator of this latter that
avoids the drawbacks of the estimation procedure that has been used so far. We
prove strong consistency and asymptotic normality and analyze the finite sample
behavior through simulation. We illustrate with an application to financial
data.
