Copula conditional tail expectation for multivariate financial risks

DOI10.1016/j.ajmsc.2017.10.002zbMath1413.91035OpenAlexW2766026215MaRDI QIDQ683444

Yahia Djabrane, Brahimi Brahim, Benatia Fatah

Publication date: 6 February 2018

Published in: Arab Journal of Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ajmsc.2017.10.002

zbMATH Keywords

copulasmarket modelsrisk managementdependence measurepositive quadrant dependenceconditional tail expectation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

Asymptotics of multivariate conditional risk measures for Gaussian risks, A consistent estimator to the orthant-based tail value-at-risk, Unnamed Item, Approximation of some multivariate risk measures for Gaussian risks

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