CoVaR of families of copulas
Fabrizio Durante and
Statistics & Probability Letters, 2017, vol. 120, issue C, 8-17
We revisit the notion of Conditional Value-at-Risk (shortly, CoVaR) by weakening the usual assumptions on the joint distribution function of the involved random variables. The new approach exploits the copula methodology and uses the concept of Dini derivatives. A directory of CoVaR values for different families of copulas is provided.
Keywords: Copula; CoVaR; Risk measure; Singular measure; Systemic risk; Value-at-Risk (search for similar items in EconPapers)
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