Vulnerability-CoVaR: investigating the crypto-market

DOI10.1080/14697688.2022.2063166zbMath1500.91148arXiv2203.10777OpenAlexW4225292326MaRDI QIDQ5039634

Martin Waltz, Ostap Okhrin, Abhay Kumar Singh

Publication date: 30 September 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.10777

zbMATH Keywords

copulasystemic riskconditional value-at-riskcryptocurrency

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Uses Software

• copula
• HAC
• Rugarch
• copula
• CopulaModel

Cites Work

• HAC
• CopulaModel
• TENET: tail-event driven network risk
• On the structure and estimation of hierarchical Archimedean copulas
• An introduction to copulas.
• Return and volatility spillovers among cryptocurrencies
• Volatility and return jumps in Bitcoin
• Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance
• On multivariate extensions of the conditional value-at-risk measure
• Dependence Modeling with Copulas
• On Bayesian Modeling of Fat Tails and Skewness
• Regression Quantiles
• Where the Risks Lie: A Survey on Systemic Risk*
• On dependence consistency of CoVaRand some other systemic risk measures

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