A0870
Title: Kendall conditional value-at-risk with application to the Italian energy market
Authors: Aurora Gatto - University of Salento (Italy) [presenting]
Fabrizio Durante - University of Salento (Italy)
Elisa Perrone - Eindhoven University of Technology (Netherlands)
Abstract: The Conditional Value-at-Risk (CoVaR) is a dependence-adjusted version of the Value at Risk (VaR) to quantify the risk of a random variable Y with respect to another random variable X. We take into account a multivariate modification of CoVaR based on the Kendall distribution function, where the stress event is related to multiple random variables. In detail, we discuss two possible hazard scenarios that generalize the standard CoVar and use the copula theory to derive the corresponding risk quantities. As an application of the proposed methodology, we consider the main Italian Energy companies listed on the stock exchange to demonstrate how the multivariate modification of CoVaR can be useful to analyze the resilience of a system when some parts of it are under distress.
