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On Conditional Value at Risk (CoVaR) for tail-dependent copulas
16 references·0 citing·38 second hop
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References

  • 2016CoVaR2,395 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2014Dependence Modeling with Copulas1,564 cited
  • 2004Stochastic Finance701 cited
  • 2010Copula Theory and Its Applications669 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2015Principles of Copula Theory640 cited
  • 2009Tail dependence functions and vine copulas284 cited
  • 2010Extreme-Value Copulas229 cited
  • 2009Copulas: A Personal View204 cited
  • 2014On dependence consistency of CoVaRand some other systemic risk measures196 cited
  • 2013Copulae in Mathematical and Quantitative Finance139 cited
  • 2002Copula convergence theorems for tail events126 cited
  • 2009Tails of multivariate Archimedean copulas124 cited
  • 2015Conditional quantiles and tail dependence74 cited

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