Multivariate geometric tail- and range-value-at-risk
Year of publication: |
2020
|
---|---|
Authors: | Herrmann, Klaus ; Hofert, Marius ; Mailhot, Mélina |
Subject: | Multivariate risk measures | tail-value-at-risk | range-value-at-risk | geometric quantiles | dependence | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Risiko | Risk | Risikomaß | Risk measure | Messung | Measurement | Portfolio-Management | Portfolio selection |
-
On multivariate extensions of the conditional value-at-risk measure
Di Bernardino, Elena, (2015)
-
Shushi, Tomer, (2020)
-
A form of multivariate pareto distribution with applications to financial risk measurement
Su, Jianxi, (2016)
- More ...
-
Multivariate geometric expectiles
Herrmann, Klaus J., (2018)
-
Multivariate TVaR-based risk decomposition for vector-valued portfolios
Mailhot, Mélina, (2016)
-
Cossette, Hélène, (2012)
- More ...