The skew normal multivariate risk measurement framework

DOI10.1007/S10287-019-00350-8OpenAlexW2946499408WikidataQ127826610 ScholiaQ127826610MaRDI QIDQ2183562

Mauro Bernardi, Roy Cerqueti, Arsen Palestini

Publication date: 27 May 2020

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://openresearch.lsbu.ac.uk/download/8b552b273d5f45060b074bed3a934389ce142047342d0bb54dc21e2fd2af3e7c/592486/CMSC-S-18-00098.pdf

zbMATH Keywords

value-at-riskexpected shortfallskew normal distributionconditional risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

Related Items (1)

Family of mean-mixtures of multivariate normal distributions: properties, inference and assessment of multivariate skewness

Uses Software

• sn

Cites Work

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• Statistical Applications of the Multivariate Skew Normal Distribution
• The multivariate skew-normal distribution
• The Skew-normal Distribution and Related Multivariate Families*
• A general class of multivariate skew-elliptical distributions

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