On quantile based co-risk measures and their estimation

Fuchs Sebastian () and Trutschnig Wolfgang ()
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Fuchs Sebastian: Department for Mathematics, University of Salzburg, Austria
Trutschnig Wolfgang: Department for Mathematics, University of Salzburg, Austria

Dependence Modeling, 2020, vol. 8, issue 1, 396-416

Abstract: Conditional Value-at-Risk (CoVaR) is defined as the Value-at-Risk of a certain risk given that the related risk equals a given threshold (CoVaR=) or is smaller/larger than a given threshold (CoVaR

Keywords: Co-Value-at-Risk; co-risk measure; checkerboard copula; weak convergence; estimation (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:8:y:2020:i:1:p:396-416:n:19

DOI: 10.1515/demo-2020-0021

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