On quantile based co-risk measures and their estimation
Conditional Value-at-Risk (CoVaR) is defined as the Value-at-Risk of a certain risk given that the related risk equals a given threshold (CoVaR=) or is smaller/larger than a given threshold (CoVaR</CoVaR≥). We extend the notion of Conditional Value-at-Risk to quantile based co-risk measures that...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2020-12-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2020-0021 |