On multivariate extensions of value-at-risk

DOI10.1016/J.JMVA.2013.03.016zbMath1287.91090arXiv1111.1349OpenAlexW2051291123MaRDI QIDQ391656

Areski Cousin, Elena Di Bernardino

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.1349

zbMATH Keywords

stochastic ordersmultivariate risk measurescopulas and dependencelevel sets of distribution functionsmultivariate probability integral transformation

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Probability distributions: general theory (60E05) Distribution theory (60E99)

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