On conditional value at risk (CoVaR) for tail-dependent copulas (Q515554)
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scientific article; zbMATH DE number 6695556
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| English | On conditional value at risk (CoVaR) for tail-dependent copulas |
scientific article; zbMATH DE number 6695556 |
Statements
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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0.879546582698822
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0.8552684187889099
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0.8477577567100525
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0.843322217464447
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0.8413752317428589
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