Multivariate geometric tail-and range-value-at-risk

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Colección: Artículos

Título: Multivariate geometric tail-and range-value-at-risk / Klaus Herrmann, Marius Hofert, Mélina Mailhot

Notas: Sumario: A generalization of range-value-at-risk (RVaR) and tail-value-at-risk (TVaR) for d-dimensional distribution functions is introduced. Properties of these new risk measures are studied and illustrated. We provide special cases, applications and a comparison with traditional univariate andmultivariate versions of the TVaR and RVaR.

Autores secundarios: Hofert, Marius
Mailhot, Mélina

Otras clasificaciones: 6

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