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On quantile based co-risk measures and their estimation

Author

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  • Fuchs Sebastian

    (Department for Mathematics, University of Salzburg, Austria)

  • Trutschnig Wolfgang

    (Department for Mathematics, University of Salzburg, Austria)

Abstract

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

Suggested Citation

  • Fuchs Sebastian & Trutschnig Wolfgang, 2020. "On quantile based co-risk measures and their estimation," Dependence Modeling, De Gruyter, vol. 8(1), pages 396-416, January.
    • Handle: RePEc:vrs:demode:v:8:y:2020:i:1:p:396-416:n:19
    DOI: 10.1515/demo-2020-0021
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    References listed on IDEAS

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