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  • 标题:On Conditional Value at Risk (CoVaR) for tail-dependent copulas
  • 本地全文:下载
  • 作者:Piotr Jaworski
  • 期刊名称:Dependence Modeling
  • 电子版ISSN:2300-2298
  • 出版年度:2017
  • 卷号:5
  • 期号:1
  • 页码:1-19
  • DOI:10.1515/demo-2017-0001
  • 出版社:Walter de Gruyter GmbH
  • 摘要:

    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.

  • 关键词:Copulas ; Tail dependence ; Value-at-Risk (VaR) ; Conditional Value-at-Risk (CoVaR) ; Conditional quantiles MSC 2010: 62H05 ; 60E05 ; 91B30 ; 91G40
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