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q-fin.RM2023
On heavy-tailed risks under Gaussian copula: the effects of marginal transformation
Bikramjit Das, Vicky Fasen-Hartmann
In this paper, we compute multivariate tail risk probabilities where the marginal risks are heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-taile…
q-fin.RM2017
Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
Anulekha Dhara, Bikramjit Das, Karthik Natarajan
Worst-case bounds on the expected shortfall risk given only limited information on the distribution of the random variables has been studied extensively in the literature. In this…