Does Tail Dependence Make A Difference In the ... - Boston College

In the case of continuous random variables, the above equation can be further simplified as:
(
)
MES(τ) = −E X|Y V aR y (τ)
= − 1 τ
= − 1 τ
= − 1 τ
N∑
i=1
∫ +∞
−∞
∫ 1
0
∂C(u, τ)
x i P r(X = x i )
∂u
x
∂C(u, τ)
f(x)dx
∂u
F −1
x (u)
∂C(u, τ)
du
∂u
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