When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a result, regulators have started to require that the...

When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a result, regulators have started to require that the...

Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmission mechanism across crypto markets and other...

Dependent Tail Value-at-Risk, abbreviated as DTVaR, is a copula-based extension of Tail Value-at-Risk (TVaR). This risk measure is an expectation of a target loss once the loss and its associated loss are above their respective quantiles but bounded above by their respective larger quantiles. In...