Hakim, Arief; Syuhada, Khreshna - In: Risks : open access journal 11 (2023) 2, pp. 1-45
-called multivariate conditional value-at-risk (MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a …. In this paper, we aimed to find its analytic formulas by considering multivariate copulas, which allow for the separation … of margins and dependence structures in modeling the returns of the aforementioned assets. Compared to multivariate …