A directional multivariate value at risk

DOI10.1016/J.INSMATHECO.2015.09.002zbMATH Open1348.91295arXiv1502.00908OpenAlexW1645507373MaRDI QIDQ896753FDOQ896753

Authors: Raúl Torres, Henry Laniado, Rosa E. Lillo 

Publication date: 14 December 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Abstract: In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability $alpha$, the $100alpha\mathrm{\%}$ VaR is defined as a threshold loss value, such that the probability that the loss on the portfolio over the given time horizon exceeds this value is $alpha$. That is to say, it is a quantile of the distribution of the losses, which has both good analytic properties and easy interpretation as a risk measure. However, its extension to the multivariate framework is not unique because a unique definition of multivariate quantile does not exist. In the current literature, the multivariate quantiles are related to a specific partial order considered in $mathbb{R}^n$, or to a property of the univariate quantile that is desirable to be extended to $mathbb{R}^n$. In this work, we introduce a multivariate value at risk as a vector-valued directional risk measure, based on a directional multivariate quantile, which has recently been introduced in the literature. The directional approach allows the manager to consider external information or risk preferences in her/his analysis. We have derived some properties of the risk measure and we have compared the univariate extit{VaR} over the marginals with the components of the directional multivariate VaR. We have also analyzed the relationship between some families of copulas, for which it is possible to obtain closed forms of the multivariate VaR that we propose. Finally, comparisons with other alternative multivariate VaR given in the literature, are provided in terms of robustness.

Full work available at URL: https://arxiv.org/abs/1502.00908

Recommendations

• On multivariate extensions of value-at-risk
• Cone distribution functions and quantiles for multivariate random variables
• Multivariate value at risk and related topics
• MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
• On multivariate extensions of the conditional value-at-risk measure

zbMATH Keywords

copulavalue at riskmultivariate quantiledirectional approachmultivariate risks

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical methods; risk measures (91G70) Inequalities; stochastic orderings (60E15)

Cites Work

• Coherent measures of risk
• Title not available (Why is that?)
• An introduction to copulas.
• \(M\)-estimation, convexity and quantiles
• On a Geometric Notion of Quantiles for Multivariate Data
• Title not available (Why is that?)
• General notions of statistical depth function.
• Understanding Relationships Using Copulas
• Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
• Heavy-Tail Phenomena
• Stochastic orders
• Quantile tomography: using quantiles with multivariate data
• DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Risk aggregation with dependence uncertainty
• Duality for set-valued measures of risk
• Fat tails, VaR and subadditivity
• Vector-valued coherent risk measures
• Properties and calculation of multivariate risk measures: MVaR and MCVaR
• Bounds for functions of multivariate risks
• On multivariate extensions of value-at-risk
• Quantile curves and dependence structure for bivariate distributions
• Vector risk functions
• Consistent risk measures for portfolio vectors
• Quantiles for finite and infinite dimensional data
• Kendall distributions and level sets in bivariate exchangeable survival models
• Generalized quantile processes based on multivariate depth functions, with applications in nonparametric multivariate analysis.
• Multivariate risks and depth-trimmed regions
• Some classes of multivariate risk measures
• Portfolio selection through an extremality stochastic order
• Title not available (Why is that?)
• Bivariate value-at-risk

Cited In (26)

• Multivariate risks modeling for financial portfolio management and climate applications
• MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
• Vector-valued multivariate conditional value-at-risk
• A multivariate CVaR risk measure from the perspective of portfolio risk management
• Estimation of extreme quantiles conditioning on multivariate critical layers
• Semi-parametric estimation of multivariate extreme expectiles
• Multifractal value at risk model
• Cone distribution functions and quantiles for multivariate random variables
• Multivariate geometric expectiles
• A multivariate quantile based on Kendall ordering
• Marginal M-quantile regression for multivariate dependent data
• On the estimation of extreme directional multivariate quantiles
• The location of a minimum variance squared distance functional
• A multivariate extension of the increasing convex order to compare risks
• PRINCIPAL COMPONENT VALUE AT RISK
• On multivariate extensions of value-at-risk
• Bivariate lower and upper orthant value-at-risk
• Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements
• Multivariate value at risk and related topics
• Center-outward quantiles and the measurement of multivariate risk
• Risk tomography
• Bivariate value-at-risk
• Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
• On extreme quantile region estimation under heavy-tailed elliptical distributions
• Directional multivariate extremes in environmental phenomena
• A consistent estimator to the orthant-based tail value-at-risk

This page was built for publication: A directional multivariate value at risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q896753)