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

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 il...

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Bibliographic Details
Main Author: Jaworski Piotr
Format: Article
Language:English
Published: De Gruyter 2017-01-01
Series:Dependence Modeling
Subjects:
Online Access:https://doi.org/10.1515/demo-2017-0001