Open AccessCopula conditional tail expectation for multivariate financial risks
Author(s) -
Brahim Brahimi,
Fatah Benatia,
Djabrane Yahia
Publication year - 2017
Publication title -
arab journal of mathematical sciences
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.353
H-Index - 11
eISSN - 2588-9214
pISSN - 1319-5166
DOI - 10.1016/j.ajmsc.2017.10.002
Subject(s) - copula (linguistics) , bivariate analysis , mathematics , econometrics , multivariate statistics , dynamic risk measure , coherent risk measure , expected shortfall , value at risk , tail dependence , risk measure , measure (data warehouse) , actuarial science , conditional probability distribution , statistics , risk management , economics , finance , computer science , data mining , portfolio
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