Bivariate value-at-risk

MaRDI QIDQ3420247zbMATH OpenFDO

Authors Giuseppe Arbia

Publication date 1 February 2007

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• On multivariate extensions of value-at-risk
• MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
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Cited in

(6)

• Vector-valued multivariate conditional value-at-risk
• PRINCIPAL COMPONENT VALUE AT RISK
• Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods
• On bivariate risk premia
• A method of calculating the downside risk by multivariate nonnormal distributions
• A directional multivariate value at risk

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