Involving copula functions in Conditional Tail Expectation

Brahim Brahimi

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arXiv · 1205.4345

Involving copula functions in Conditional Tail Expectation

Brahim Brahimi

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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.

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Brahim Brahimi. 2012-05-19. Involving copula functions in Conditional Tail Expectation. https://arxiv.org/abs/1205.4345

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