A multivariate CVaR risk measure from the perspective of portfolio risk management

DOI10.1080/03461238.2021.1944905MaRDI QIDQ5073012zbMATH OpenOpenAlexFDO

Authors Jun Cai, Huameng Jia, Tiantian Mao

Publication date 5 May 2022

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2021.1944905

zbMATH Keywords

aggregate riskCVaRmultivariate risk measurerisk portfolioVaR

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

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• Consistent risk measures for portfolio vectors
• Convex functions and their applications. A contemporary approach
• scientific article; zbMATH DE number 775283 (Why is no real title available?)
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• Multivariate tail conditional expectation for elliptical distributions
• Multivariate value at risk and related topics
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• On multivariate extensions of conditional-tail-expectation
• On multivariate extensions of value-at-risk
• On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
• Optimization with Multivariate Conditional Value-at-Risk Constraints
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• RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
• Risk tomography
• Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
• Vector-valued multivariate conditional value-at-risk
• Vector-valued tail value-at-risk and capital allocation

Cited in

(8)

• Risk preference modeling with conditional average: An application to portfolio optimization
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• Properties and calculation of multivariate risk measures: MVaR and MCVaR
• Adjusting covariance matrix for risk management
• Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements
• Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
• Algorithmic Insurable Risk Portfolios
• Range moment risk measures for elliptical distributions

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