-at-risk (CoVaR) model. By comparing three investment strategies-industry sector-based, asset risk-return plot-based, and clustering … industrial sector's low CoVaR values signal stability, encouraging risk-tolerant investors to consider increasing their exposure …

characterised by copula models exhibiting a variety of tail-dependence behaviour. We consider CoVaR, a popular measure of risk … contagion, and study its asymptotic behaviour under broad model assumptions. We further propose the extreme CoVaR index (ECI … models exhibiting asymptotic independence. The results are illustrated by providing precise expressions of CoVaR and ECI when …

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR …), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation … volatility clustering, skewness, and kurtosis. The results reveal that the CoVaR estimates vary based on portfolio strategy, with …