A new notion to risk measurespreserving the coherence axioms , that we call Copula Conditional Tail Expectation (CCTE), is given. This risk measure describes the expected amount of risk that can be experienced given that a potential bivariate risk exceeds a bivariate threshold value, and provides an important measure for right-tail risk. Our goal is to propose an alternative risk measure which takes into account the fluctuations of losses and possible correlations between random variables. Finally, our risk measure is applied to the real financial data  .
Our goal in this paper is to propose an alternative risk measure which takes into account the fluctuations of losses and possible correlations between random variables. This new notion of risk measures , that we call Copula Conditional Tail Expectation describes the expected amount of risk that can be experienced given that a potential bivariate risk exceeds a bivariate threshold value, and provides an important measure for right-tail risk. An application to real financial data is given .
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A new notion to risk measurespreserving the coherence axioms
Our goal in this paper is to propose an alternative risk measure which takes into account the fluctuations of losses and possible correlations between random variables. This new notion of risk measures
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(CCTE), is given. This risk measure
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Our goal is to propose an alternative risk measure which takes into account the fluctuations of losses and possible correlations between random variables. Finally, our risk measure is applied to the
An application to
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is given