CoVaR of families of copulas

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• 作者：M. Bernardi^a ; ^{mbernardi@stat.unipd.it" class="auth_mail" title="E-mail the corresponding author} ; F. Durante^b ; ^{fabrizio.durante@unibz.it" class="auth_mail" title="E-mail the corresponding author} ; P. Jaworski^c ; ^{p.jaworski@mimuw.edu.pl" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Copula ; CoVaR ; Risk measure ; Singular measure ; Systemic risk ; Value-at-Risk
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：120
• 期：Complete
• 页码：8-17
• 全文大小：759 K

文摘

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.