On multivariate extensions of value-at-risk

DOI10.1016/J.JMVA.2013.03.016MaRDI QIDQ391656zbMATH OpenOpenAlexFDO

Authors Areski Cousin, Elena Di Bernardino

Publication date 10 January 2014

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.1349

zbMATH Keywords

stochastic ordersmultivariate risk measurescopulas and dependencelevel sets of distribution functionsmultivariate probability integral transformation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Measures of association (correlation, canonical correlation, etc.) (62H20) Distribution theory (60E99)

Abstract: In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk portfolio. The lower-orthant VaR is constructed from level sets of multivariate distribution functions whereas the upper-orthant VaR is constructed from level sets of multivariate survival functions. Several properties have been derived. In particular, we show that these risk measures both satisfy the positive homogeneity and the translation invariance property. Comparison between univariate risk measures and components of multivariate VaR are provided. We also analyze how these measures are impacted by a change in marginal distributions, by a change in dependence structure and by a change in risk level. Illustrations are given in the class of Archimedean copulas.

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