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

• Covar of families of copulas
• On dependence consistency of CoVaR and some other systemic risk measures
• On quantile based co-risk measures and their estimation
• Conditional quantiles and tail dependence
• On multivariate extensions of the conditional value-at-risk measure

zbMATH Keywords

tail dependencecopulasconditional quantilesvalue-at-risk (VaR)conditional value-at-risk (CoVaR)

Mathematics Subject Classification ID

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)

Cites Work

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Cited In (12)

• On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
• 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
• Using copulae to bound the value-at-risk for functions of dependent risks
• Stochastic comparisons and bounds for conditional distributions by using copula properties
• Probability equivalent level for CoVaR and VaR
• On copulas of self-similar Ito processes
• Title not available (Why is that?)
• Multivariate Fréchet copulas and conditional value-at-risk
• Conditioning of copulas: transformations, invariance and measures of concordance
• Copulas with given values on the tails

Uses Software

• QRM

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