Copula conditional tail expectation for multivariate financial risks

DOI10.1016/J.AJMSC.2017.10.002MaRDI QIDQ683444zbMATH OpenOpenAlexFDO

Authors Brahimi Brahim, Benatia Fatah, Yahia Djabrane

Publication date 6 February 2018

Published in Arab Journal of Mathematical Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.ajmsc.2017.10.002

zbMATH Keywords

conditional tail expectationcopulasdependence measuremarket modelspositive quadrant dependencerisk management

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cited in

(10)

• Approximation of some multivariate risk measures for Gaussian risks
• Multivariate Fréchet copulas and conditional value-at-risk
• Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
• Asymptotics of multivariate conditional risk measures for Gaussian risks
• Copula entropy method for measuring correlation in financial risk
• A consistent estimator to the orthant-based tail value-at-risk
• On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
• Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk
• Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples
• Measures of risk

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