  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.
