On conditional value at risk (CoVaR) for tail-dependent copulas (Q515554): Difference between revisions
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Revision as of 18:04, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On conditional value at risk (CoVaR) for tail-dependent copulas |
scientific article |
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On conditional value at risk (CoVaR) for tail-dependent copulas (English)
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16 March 2017
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copulas
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tail dependence
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value-at-risk (VaR)
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conditional value-at-risk (CoVaR)
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conditional quantiles
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