On conditional value at risk (CoVaR) for tail-dependent copulas
DOI10.1515/DEMO-2017-0001zbMATH Open1359.62166OpenAlexW2583611907MaRDI QIDQ515554FDOQ515554
Authors: Piotr Jaworski 
Publication date: 16 March 2017
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2017-0001
Recommendations
Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
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Cited In (20)
- On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
- Copula conditional tail expectation for multivariate financial risks
- On the limit of conditional Spearman's rho under the common factor model
- Bivariate box plots based on quantile regression curves
- On quantile based co-risk measures and their estimation
- Stochastic orders and multivariate measures of risk contagion
- Multivariate tail estimation with application to analysis of CoVaR
- Conditional quantiles and tail dependence
- Using copulae to bound the value-at-risk for functions of dependent risks
- On peculiarities of CoVaR-based portfolio selection
- Stochastic comparisons and bounds for conditional distributions by using copula properties
- Probability equivalent level for CoVaR and VaR
- Covar of families of copulas
- Vulnerability-CoVaR: investigating the crypto-market
- On copulas of self-similar Ito processes
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- Multivariate Fréchet copulas and conditional value-at-risk
- Conditioning of copulas: transformations, invariance and measures of concordance
- Copulas with given values on the tails
- On dependence consistency of CoVaR and some other systemic risk measures
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