Syuhada, Khreshna; Neswan, Oki; Parulian, Josaphat, Bony - In: Risks : open access journal 10 (2022) 6, pp. 1-26
Dependent Tail Value-at-Risk, abbreviated as DTVaR, is a copula-based extension of Tail Value-at-Risk (TVaR). This risk … quantiles, called the Dependent Conditional Tail Variance (DCTV). We use this measure for constructing confidence intervals of …