On multivariate extensions of conditional-tail-expectation
From MaRDI portal
Recommendations
- On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
- On multivariate extensions of value-at-risk
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
- On multivariate extensions of the conditional value-at-risk measure
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
Cites work
- scientific article; zbMATH DE number 3560540 (Why is no real title available?)
- scientific article; zbMATH DE number 1531222 (Why is no real title available?)
- An introduction to copulas. Properties and applications
- Bivariate Contours of Copula
- Bounds for functions of multivariate risks
- Coherent measures of risk
- Comonotonic measures of multivariate risks
- Conditional tail expectations for multivariate phase-type distributions
- Consistent risk measures for portfolio vectors
- Duality for set-valued measures of risk
- Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management
- Halfplane trimming for bivariate distributions
- Kendall distributions and level sets in bivariate exchangeable survival models
- Law invariant convex risk measures for portfolio vectors
- Multivariate comonotonicity
- Multivariate risks and depth-trimmed regions
- Multivariate value at risk and related topics
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- Nonparametric estimation of non-conditional or conditional geometric quantiles
- On dependence consistency of CoVaR and some other systemic risk measures
- On multivariate extensions of value-at-risk
- Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory
- Properties and calculation of multivariate risk measures: MVaR and MCVaR
- Quantile functions for multivariate analysis: approaches and applications
- TVaR-based capital allocation with copulas
- Tail Conditional Expectations for Elliptical Distributions
- Vector-valued coherent risk measures
- \(M\)-estimation, convexity and quantiles
Cited in
(32)- Conditional tail expectations for multivariate phase-type distributions
- Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements
- Multivariate geometric expectiles
- Asymptotic results on marginal expected shortfalls for dependent risks
- Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets
- On multivariate extensions of value-at-risk
- Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
- A multivariate CVaR risk measure from the perspective of portfolio risk management
- Multivariate conditional versions of Spearman's rho and related measures of tail dependence
- scientific article; zbMATH DE number 883159 (Why is no real title available?)
- Skewed bivariate models and nonparametric estimation for the CTE risk measure
- Copula conditional tail expectation for multivariate financial risks
- Value-at-risk modeling with conditional copulas in Euclidean space framework
- Conditional excess risk measures and multivariate regular variation
- On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
- Capital allocation with multivariate convex risk measures
- Risk tomography
- Strongly consistent multivariate conditional risk measures
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- Multivariate matrix-exponential affine mixtures and their applications in risk theory
- Stein's lemma for truncated generalized skew-elliptical random vectors
- Multivariate extensions of expectiles risk measures
- A multivariate extension of the increasing convex order to compare risks
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
- Second order regular variation and conditional tail expectation of multiple risks
- Vector-valued tail value-at-risk and capital allocation
- Asymptotic Analysis of Multivariate Tail Conditional Expectations
- Stein's lemma for truncated elliptical random vectors
- Asymptotics for risk capital allocations based on conditional tail expectation
- Bivariate tail conditional co-expectation for elliptical distributions
- On multivariate extensions of the conditional value-at-risk measure
- Vector-valued multivariate conditional value-at-risk
This page was built for publication: On multivariate extensions of conditional-tail-expectation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q743166)
