Vector-valued tail value-at-risk and capital allocation

DOI10.1007/s11009-015-9444-9zbMath1349.91319OpenAlexW1995981016MaRDI QIDQ340111

Mélina Mailhot, Hélène Cossette, Étienne Marceau, M'hamed Mesfioui

Publication date: 11 November 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9444-9

zbMATH Keywords

copulasboundscapital allocationmultivariate risk measuresbivariate tail value-at-risk

Mathematics Subject Classification ID

Related Items (9)

A multivariate CVaR risk measure from the perspective of portfolio risk management ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Multivariate geometric expectiles ⋮ Risk allocation through shapley decompositions, with applications to variable annuities ⋮ A consistent estimator to the orthant-based tail value-at-risk ⋮ Copula conditional tail expectation for multivariate financial risks ⋮ Semi-parametric estimation of multivariate extreme expectiles ⋮ MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK ⋮ Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models

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