B0662
Title: CoVaR for asymptotically dependent losses
Authors: Piotr Jaworski - University of Warsaw (Poland) [presenting]
Abstract: CoVaR (conditional Value at Risk) is a newly introduced risk measure which is oriented on systemic risk. If random variables $X$ and $Y$ are modelling our phenomena, say actuarial risks or losses from the investments, CoVaR of $Y$ with respect to $X$ is VaR of conditional $Y$. In more details $CoVaR_\beta(Y|X) = VaR_\beta(Y|X \in E)$, where $E$, the Borel subset of the real line, is modelling some adverse event concerning $X$. The basic properties of CoVaR will be presented. Especially, when the copula of the losses/risks belongs to one of the basic families modelling upper tail dependence: conic, extreme value or right truncation invariant.
Journal