Kendall Conditional Value-at-Risk

被引：1

作者：

Durante, Fabrizio ^{[1
]}

Gatto, Aurora ^{[1
]}

Perrone, Elisa ^{[2
]}

机构：

[1] Univ Salento, Ctr Ecotekne, SP 6, Lecce, Italy

[2] Eindhoven Univ Technol, Groene Loper 5, NL-5612 AZ Eindhoven, Netherlands

来源：

MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE, MAF 2022 | 2022年

关键词：

Copula; Systemic risk; Value-at-Risk; MULTIVARIATE; COVAR;

D O I：

10.1007/978-3-030-99638-3_36

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The Conditional Value-at-Risk (CoVaR) is a modified version of the Value-at-Risk (VaR) to quantify the risk of a random variable Y with respect to another random variable X. In this work, we consider a multivariate modification of CoVaR based on the Kendall distribution function. In particular, we discuss two possible hazard scenarios that generalize the standard CoVar and use the copula theory to derive the corresponding risk quantities. We consider a systemic risk exercise of the Italian banking system to demonstrate how the multivariate modification of CoVaR can be useful to analyze the resilience of a system when some parts of it are under distress.

引用

页码：222 / 227

页数：6

共 18 条

[11] On dependence consistency of CoVaR and some other systemic risk measures [J].