Involving copula functions in Conditional Tail Expectation
Statistics Theory
2015-03-20 v4 Risk Management
Applications
Statistics Theory
Abstract
Our goal in this paper is to propose an alternative risk measure which takes into account the fluctuations of losses and possible correlations between random variables. This new notion of risk measures, that we call Copula Conditional Tail Expectation describes the expected amount of risk that can be experienced given that a potential bivariate risk exceeds a bivariate threshold value, and provides an important measure for right-tail risk. An application to real financial data is given.
Cite
@article{arxiv.1205.4345,
title = {Involving copula functions in Conditional Tail Expectation},
author = {Brahim Brahimi},
journal= {arXiv preprint arXiv:1205.4345},
year = {2015}
}
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