On Optimization of Copula-Based Extended Tail Value-at-Risk and its Application in Energy Risk
In this paper, we study a novel risk measure, which is a copula-based extension of tail value-at-risk (TVaR). This measure is called dependent tail value-at-risk (DTVaR), which is a generalization of TVaR. Moreover, we describe a second conditional tail moment of the tail distribution with the cente...
| Main Authors: | , , |
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| Formato: | Artigo |
| Idioma: | English |
| Publicado em: |
IEEE
2021-01-01
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| Colecção: | IEEE Access |
| Assuntos: | |
| Acesso em linha: | https://ieeexplore.ieee.org/document/9520355/ |