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

On Conditional Value at Risk (CoVaR) for tail-dependent copulas AbstractThe 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

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

Dependence Modeling , Volume 5 (1): 19 – Jan 26, 2017

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Publisher
de Gruyter
Copyright
© 2017
ISSN
2300-2298
eISSN
2300-2298
DOI
10.1515/demo-2017-0001
Publisher site
See Article on Publisher Site

Abstract

AbstractThe 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.

Journal

Dependence Modelingde Gruyter

Published: Jan 26, 2017

References