On Optimization of Copula-Based Extended Tail Value-at-Risk and its Application in Energy Risk

Josaphat, BP; Ansori, MF; Syuhada, K

Syuhada, K (corresponding author), Inst Teknol Bandung, Stat Res Div, Bandung 40132, Indonesia.

IEEE ACCESS, 2021; 9 (): 122474

Abstract

In this paper, we study a novel risk measure, which is a copula-based extension of tail value-at-risk (TVaR). This measure is called dependent tail va......

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