A directional multivariate value at risk

DOI10.1016/J.INSMATHECO.2015.09.002MaRDI QIDQ896753zbMATH OpenOpenAlexFDO

Authors Raúl Torres, Henry Laniado, Rosa E. Lillo

Publication date 14 December 2015

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.00908

zbMATH Keywords

copuladirectional approachmultivariate quantilemultivariate risksvalue at risk

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Inequalities; stochastic orderings (60E15) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical methods; risk measures (91G70)

Abstract: In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability $alpha$, the $100alpha\mathrm{\%}$ VaR is defined as a threshold loss value, such that the probability that the loss on the portfolio over the given time horizon exceeds this value is $alpha$. That is to say, it is a quantile of the distribution of the losses, which has both good analytic properties and easy interpretation as a risk measure. However, its extension to the multivariate framework is not unique because a unique definition of multivariate quantile does not exist. In the current literature, the multivariate quantiles are related to a specific partial order considered in $mathbb{R}^n$, or to a property of the univariate quantile that is desirable to be extended to $mathbb{R}^n$. In this work, we introduce a multivariate value at risk as a vector-valued directional risk measure, based on a directional multivariate quantile, which has recently been introduced in the literature. The directional approach allows the manager to consider external information or risk preferences in her/his analysis. We have derived some properties of the risk measure and we have compared the univariate extit{VaR} over the marginals with the components of the directional multivariate VaR. We have also analyzed the relationship between some families of copulas, for which it is possible to obtain closed forms of the multivariate VaR that we propose. Finally, comparisons with other alternative multivariate VaR given in the literature, are provided in terms of robustness.

Recommendations

• On multivariate extensions of value-at-risk
• Cone distribution functions and quantiles for multivariate random variables
• Multivariate value at risk and related topics
• MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
• On multivariate extensions of the conditional value-at-risk measure

Cites work

• \(M\)-estimation, convexity and quantiles
• An introduction to copulas.
• Bivariate value-at-risk
• Bounds for functions of multivariate risks
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Coherent measures of risk
• Consistent risk measures for portfolio vectors
• DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
• Duality for set-valued measures of risk
• Fat tails, VaR and subadditivity
• General notions of statistical depth function.
• Generalized quantile processes based on multivariate depth functions, with applications in nonparametric multivariate analysis.
• Heavy-Tail Phenomena
• scientific article; zbMATH DE number 1642361 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 6125590 (Why is no real title available?)
• Kendall distributions and level sets in bivariate exchangeable survival models
• Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
• Multivariate risks and depth-trimmed regions
• On a Geometric Notion of Quantiles for Multivariate Data
• On multivariate extensions of value-at-risk
• Portfolio selection through an extremality stochastic order
• Properties and calculation of multivariate risk measures: MVaR and MCVaR
• Quantile curves and dependence structure for bivariate distributions
• Quantile tomography: using quantiles with multivariate data
• Quantiles for finite and infinite dimensional data
• Risk aggregation with dependence uncertainty
• Some classes of multivariate risk measures
• Stochastic orders
• Understanding Relationships Using Copulas
• Vector risk functions
• Vector-valued coherent risk measures

Cited in

(27)

• Multifractal value at risk model
• Cone distribution functions and quantiles for multivariate random variables
• Risk tomography
• Multivariate value at risk and related topics
• Semi-parametric estimation of multivariate extreme expectiles
• Marginal M-quantile regression for multivariate dependent data
• The location of a minimum variance squared distance functional
• Center-outward quantiles and the measurement of multivariate risk
• Vector-valued multivariate conditional value-at-risk
• A multivariate extension of the increasing convex order to compare risks
• Bivariate value-at-risk
• On multivariate extensions of value-at-risk
• PRINCIPAL COMPONENT VALUE AT RISK
• Multivariate geometric expectiles
• A consistent estimator to the orthant-based tail value-at-risk
• Bivariate lower and upper orthant value-at-risk
• A multivariate CVaR risk measure from the perspective of portfolio risk management
• On the estimation of extreme directional multivariate quantiles
• MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
• Multivariate risks modeling for financial portfolio management and climate applications
• A multivariate quantile based on Kendall ordering
• Estimation of extreme quantiles conditioning on multivariate critical layers
• On extreme quantile region estimation under heavy-tailed elliptical distributions
• Directional multivariate extremes in environmental phenomena
• Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements
• Partially ordered data sets and a new efficient method for calculating multivariate conditional value-at-risk
• Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models

This page was built for publication: A directional multivariate value at risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q896753)