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