The aim of this paper is to provide an approximation of the value-at-risk of the multivariate copula associated with financial loss and profit function. A higher dimensional extension of the Taylor–Young formula is used for this estimation in a Euclidean space. Moreover, a time-varying and conditional copula is used for the modeling of the VaR(...)

This paper aims to establish an analytic relation between a time-varying conditional copula and the value at risk modeled by the underlying. Specically, under the asumption that the space is euclidean we use scalar product to clarify a link between the conditional copula varying with time and norms. It is then established a new expression on t(...)

This paper investigates some properties of derivative measures of the Value at Risk (VaR) of random variables modeling the stochastic behavior of a portfolio asset. Specifically, coherentness and convex properties of the conditional, the tail VaR and the standard deviation are established. Moreover, a new version of high risk scenario is chara(...)