Covar of families of copulas

DOI10.1016/J.SPL.2016.09.005zbMath1417.62298OpenAlexW2522896830MaRDI QIDQ342737

Mohammad Hasan, M. Dambrine

Publication date: 18 November 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.09.005

zbMATH Keywords

copulasingular measurevalue-at-riskrisk measuresystemic riskcovar

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Probability distributions: general theory (60E05)

Related Items (14)

The conditional Haezendonck-Goovaerts risk measure ⋮ 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 ⋮ The skew normal multivariate risk measurement framework ⋮ Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach ⋮ Stochastic orders and co-risk measures under positive dependence ⋮ Probability equivalent level for CoVaR and VaR ⋮ On peculiarities of\nobreakspace {}CoVaR-based portfolio\nobreakspace {}selection ⋮ On conditional value at risk (CoVaR) for tail-dependent copulas ⋮ Stochastic comparisons and bounds for conditional distributions by using copula properties ⋮ Conditioning of copulas: transformations, invariance and measures of concordance ⋮ On copulas of self-similar Ito processes ⋮ On the class of truncation invariant bivariate copulas under constraints

Uses Software

• CopulaModel

Cites Work

• On a strong metric on the space of copulas and its induced dependence measure
• Bayesian tail risk interdependence using quantile regression
• TENET: tail-event driven network risk
• Invariant dependence structures and Archimedean copulas
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Semilinear copulas
• Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and iterated function systems
• Tails of multivariate Archimedean copulas
• On multivariate extensions of the conditional value-at-risk measure
• On the singular components of a copula
• Invariant dependence structure under univariate truncation
• Stochastic Finance
• A New Characterization of Bivariate Copulas
• Dependence Modeling with Copulas
• Simulating Copulas
• A new class of symmetric bivariate copulas
• On dependence consistency of CoVaRand some other systemic risk measures

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