of copula is important for risk management, since it modifies the Value-at-Risk (VaR) of international portfolios and …

, but also provides a more flexible measure to capture an asymmetric dependence among assets. CoVaR, the Value-at-Risk of … risk contribution that the institution adds to the entire system. Combined with the modified CoVaR methodology and … estimation of the dependence structures through vine copula modeling, we empirically investigate systemic risk in 10 S&P 500 …

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …