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

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Articles Articles Multivariate geometric tail-and range-value-at-risk - Herrmann, Klaus

Collection: Articles

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

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/

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