Article ID Journal Published Year Pages File Type
5129938 Statistics & Probability Letters 2017 10 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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