3 papers
stat.ME2026
CoVaR under Asymptotic Independence
Zhaowen Wang, Yutao Liu, Deyuan Li
Conditional value-at-risk (CoVaR) is one of the most important measures of systemic risk. It is defined as the high quantile conditional on a related variable being extreme, widely…
stat.ME2025
Max-Linear Tail Regression
Liujun Chen, Deyuan Li, Zhengjun Zhang
The relationship between a response variable and its covariates can vary significantly, especially in scenarios where covariates take on extremely high or low values. This paper in…
stat.ME2023
Tail Gini Functional under Asymptotic Independence
Zhaowen Wang, Liujun Chen, Deyuan Li
Tail Gini functional is a measure of tail risk variability for systemic risks, and has many applications in banking, finance and insurance. Meanwhile, there is growing attention on…