A consistent estimator to the orthant-based tail value-at-risk

DOI10.1051/PS/2018015zbMATH Open1409.62206OpenAlexW2885501161MaRDI QIDQ4615434FDOQ4615434

Authors: Nicholas Beck, Mélina Mailhot 

Publication date: 28 January 2019

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2018015

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zbMATH Keywords

copulasrisk measuresmultivariate estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Coherent measures of risk
• PLUG-IN ESTIMATION OF GENERAL LEVEL SETS
• Understanding Relationships Using Copulas
• On rank correlation measures for non-continuous random variables
• Vector-valued coherent risk measures
• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
• Conditional value-at-risk: optimization approach
• Bounds for functions of multivariate risks
• On multivariate extensions of value-at-risk
• Bivariate lower and upper orthant value-at-risk
• Vector-valued tail value-at-risk and capital allocation
• Vector-valued coherent risk measure processes
• On dependence consistency of CoVaR and some other systemic risk measures
• Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory
• Copula conditional tail expectation for multivariate financial risks

Cited In (5)

• A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
• Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
• Semi-parametric estimation of multivariate extreme expectiles
• Predicting extreme surges from sparse data using a copula-based hierarchical Bayesian spatial model
• Bivariate lower and upper orthant value-at-risk

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