On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails

DOI10.1080/03610918.2018.1510526OpenAlexW2900456716WikidataQ128906700 ScholiaQ128906700MaRDI QIDQ5088093FDOQ5088093

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Publication date: 4 July 2022

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1510526

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zbMATH Keywords

asymptoticstail conditional expectationpower-lawportfolio lossbivariate Eyraud-Farlie-Gumbel-Morgenstern copula

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Cites Work

• Coherent measures of risk
• Stable Paretian models in finance
• Title not available (Why is that?)
• The size distribution of innovations revisited: an application of extreme value statistics to citation and value measures of patent significance
• Institutional Investors and Stock Market Volatility
• Proper Conditioning for Coherent VaR in Portfolio Management
• A characterization of joint distribution of two-valued random variables and its applications
• Adjusted empirical likelihood for value at risk and expected shortfall

Cited In (1)

• Asymptotics for value at risk and conditional tail expectation of a portfolio loss

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