On the Conditional Value-at-Risk (CoVaR) in copula setting

Piotr Jaworski ()
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Piotr Jaworski: University of Warsaw, Institute of Mathematics

Chapter Chapter 7 in Copulas and Dependence Models with Applications, 2017, pp 95-117 from Springer

Abstract: Abstract This survey is dedicated to an application of copula methodology to systemic risk management. We deal with the modified Conditional Value-at-Risk (Co- VaR) for various families of copulas. We study to what extent the tail behaviour of the copula determines the limiting performance of the CoVaR when the conditioning event is becoming more extreme.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-64221-5_7

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DOI: 10.1007/978-3-319-64221-5_7

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