On conditional value at risk (CoVaR) for tail-dependent copulas (Q515554): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(5 intermediate revisions by 5 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: QRM / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1515/demo-2017-0001 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2583611907 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4197800 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional quantiles and tail dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Covar of families of copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limiting dependence structures for tail events, with applications to credit derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tails of multivariate Archimedean copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3412547 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A New Characterization of Bivariate Copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Invariant dependence structure under univariate truncation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Principles of Copula Theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Invariant dependence structures and Archimedean copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: The distribution of the probability mass of conic copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic finance. An introduction in discrete time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric estimation of multivariate extreme-value copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: On uniform tail expansions of bivariate copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: On uniform tail expansions of multivariate copulas and wide convergence of measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Limiting Properties of Copulas Under Univariate Conditioning / rank
 
Normal rank
Property / cites work
 
Property / cites work: Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Copulae in mathematical and quantitative finance. Proceedings of the workshop, Cracow, Poland, July 10--11, 2012 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4382161 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dependence Modeling with Copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tail dependence functions and vine copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Copula convergence theorems for tail events. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conic aggregation functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extremal dependence of copulas: a tail density approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4040126 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On dependence consistency of CoVaRand some other systemic risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5706744 / rank
 
Normal rank
Property / cites work
 
Property / cites work: An introduction to copulas. / rank
 
Normal rank

Latest revision as of 13:08, 13 July 2024

scientific article
Language Label Description Also known as
English
On conditional value at risk (CoVaR) for tail-dependent copulas
scientific article

    Statements

    On conditional value at risk (CoVaR) for tail-dependent copulas (English)
    0 references
    0 references
    16 March 2017
    0 references
    copulas
    0 references
    tail dependence
    0 references
    value-at-risk (VaR)
    0 references
    conditional value-at-risk (CoVaR)
    0 references
    conditional quantiles
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references