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Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring
Alfonso Suárez-Llorens / Daniela I. Flores-Silva / Miguel A. Sordo
copulas / risk managementResource overview

Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring

Paper2025

by Alfonso Suárez-Llorens, Daniela I. Flores-Silva, Miguel A. Sordo

Tags
copulasrisk managementtail risk

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  1. Random Variables and Distributions

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  2. Expected Shortfall and Other Tail Risk Measures

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  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

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