On conditional value at risk (CoVaR) for tail-dependent copulas
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Cites work
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Cited in
(23)- Using copulae to bound the value-at-risk for functions of dependent risks
- Conditioning of copulas: transformations, invariance and measures of concordance
- Multivariate Fréchet copulas and conditional value-at-risk
- Stochastic comparisons and bounds for conditional distributions by using copula properties
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- Copulas with given values on the tails
- On the limit of conditional Spearman's rho under the common factor model
- Stochastic orders and multivariate measures of risk contagion
- Covar of families of copulas
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- On peculiarities of CoVaR-based portfolio selection
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- Copula conditional tail expectation for multivariate financial risks
- Properties of CoVaR based on tail expansions of copulas
- Conditional generalized quantiles as systemic risk measures: properties, estimation, and application
- Multivariate copula-based conditional quantiles: analytic higher-order moments and ratio estimation approaches
- Bivariate box plots based on quantile regression curves
- On quantile based co-risk measures and their estimation
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