First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation (Q2220430)
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scientific article; zbMATH DE number 7300303
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| English | First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation |
scientific article; zbMATH DE number 7300303 |
Statements
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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0.8743179440498352
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0.8449882864952087
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0.8381436467170715
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0.830307126045227
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0.8268490433692932
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