On Conditional Value at Risk (CoVaR) for tail-dependent copulas

• Autorzy: Piotr Jaworski
• Języki publikacji: EN

Abstrakty

EN

The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning event becomes more extreme. The results are illustrated with examples using the extreme value, conic and truncation invariant families of bivariate tail-dependent copulas.

Słowa kluczowe

EN

Copulas; Tail dependence; Value-at-Risk (VaR); Conditional Value-at-Risk (CoVaR); Conditional quantiles

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2017
• Tom: 5
• Numer: 1
• Strony: 1-19

Daty

wydano

2017-01-01

otrzymano

2016-09-15

zaakceptowano

2016-12-05

online

2017-01-31

Twórcy

autor

Piotr Jaworski

• Institute of Mathematics, University of Warsaw,

Identyfikatory

DOI

10.1515/demo-2017-0001