Title: Multivariate geometric tail-and range-value-at-risk / Klaus Herrmann, Marius Hofert, Mélina Mailhot
Author: Herrmann, Klaus
Notes: 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.
Other categories: 6
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/