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

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  • Jaworski Piotr

    (Institute of Mathematics, University of Warsaw, Poland)

Abstract

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 illustrated with examples using the extreme value, conic and truncation invariant families of bivariate tail-dependent copulas.

Suggested Citation

  • Jaworski Piotr, 2017. "On Conditional Value at Risk (CoVaR) for tail-dependent copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 1-19, January.
    • Handle: RePEc:vrs:demode:v:5:y:2017:i:1:p:1-19:n:1
    DOI: 10.1515/demo-2017-0001
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    References listed on IDEAS

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    1. Li, Haijun & Wu, Peiling, 2013. "Extremal dependence of copulas: A tail density approach," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 99-111.
    2. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
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    4. Joe, Harry & Li, Haijun & Nikoloulopoulos, Aristidis K., 2010. "Tail dependence functions and vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 252-270, January.
    5. Girardi, Giulio & Tolga Ergün, A., 2013. "Systemic risk measurement: Multivariate GARCH estimation of CoVaR," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3169-3180.
    6. Bernard, Carole & Czado, Claudia, 2015. "Conditional quantiles and tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 104-126.
    7. Durante, Fabrizio & Jaworski, Piotr & Mesiar, Radko, 2011. "Invariant dependence structures and Archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1995-2003.
    8. Paul Embrechts, 2009. "Copulas: A Personal View," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 639-650, September.
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    Cited by:

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    2. Yuhao Liu & Petar M. Djurić & Young Shin Kim & Svetlozar T. Rachev & James Glimm, 2021. "Systemic Risk Modeling with Lévy Copulas," JRFM, MDPI, vol. 14(6), pages 1-20, June.

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