Tail VaR Measures in a Multi-period Setting

DOI10.1080/1350486X.2013.851449zbMath1395.91512MaRDI QIDQ4586032

Yuta Katsuki, Koichi Matsumoto

Publication date: 11 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

coherent risk measuretime consistencytail value at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

A new coherent multivariate average-value-at-risk ⋮ Multivariate tail conditional expectation for elliptical distributions

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