On conditional value at risk (CoVaR) for tail-dependent copulas

DOI10.1515/demo-2017-0001zbMath1359.62166OpenAlexW2583611907MaRDI QIDQ515554

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

zbMATH Keywords

copulastail dependencevalue-at-risk (VaR)conditional quantilesconditional value-at-risk (CoVaR)

Mathematics Subject Classification ID

Related Items (7)

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 ⋮ Probability equivalent level for CoVaR and VaR ⋮ 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

Uses Software

• QRM

Cites Work

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