First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation (Q2220430)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation |
scientific article |
Statements
First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation (English)
0 references
22 January 2021
0 references
asymptotics
0 references
multivariate regular variation
0 references
regular variation
0 references
second-order regular variation
0 references
spectral risk measure
0 references
value-at-risk
0 references
0 references