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A directional multivariate value at risk - MaRDI portal

A directional multivariate value at risk (Q896753)

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A directional multivariate value at risk
scientific article

    Statements

    title
    A directional multivariate value at risk (English)
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    author
    Raúl Torres
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    Henry Laniado
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    Rosa Elvira Lillo
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    publication date
    14 December 2015
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    zbMATH Keywords
    multivariate risks
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    value at risk
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    directional approach
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    multivariate quantile
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    copula
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    cites work
    Q3420247
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    Vector risk functions
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    Q4593690
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    Q4902474
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    Q3145542
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    Q3771297
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    Heavy-Tail Phenomena
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    Stochastic orders
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    Q2741129
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    91B30
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    60E15
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    60E05
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    62H05
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    62G20
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    zbMATH DE Number
    6520857
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    OpenAlex ID
    W1645507373
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    arXiv ID
    1502.00908
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