The skew normal multivariate risk measurement framework

DOI10.1007/S10287-019-00350-8MaRDI QIDQ2183562zbMATH OpenOpenAlexWikidataFDO

Authors Mauro Bernardi, Roy Cerqueti, Arsen Palestini

Publication date 27 May 2020

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://openresearch.lsbu.ac.uk/download/8b552b273d5f45060b074bed3a934389ce142047342d0bb54dc21e2fd2af3e7c/592486/CMSC-S-18-00098.pdf

zbMATH Keywords

conditional risk measuresexpected shortfallskew normal distributionvalue-at-risk

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Statistical methods; risk measures (91G70)

Recommendations

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Cites work

• A general class of multivariate skew-elliptical distributions
• A multivariate skew normal distribution.
• Covar of families of copulas
• Multivariate mixture modeling using skew-normal independent distributions
• On mixtures of skew normal and skew t-distributions
• Risk measures for skew normal mixtures
• Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
• Stable Paretian models in finance
• Statistical Applications of the Multivariate Skew Normal Distribution
• The multivariate skew-normal distribution
• The Skew-normal Distribution and Related Multivariate Families*
• Timing portfolio strategies with exponential Lévy processes

Cited in

(5)

• Family of mean-mixtures of multivariate normal distributions: properties, inference and assessment of multivariate skewness
• Distortion Risk Measures Under Skew Normal Settings
• Normalized Exponential Tilting
• Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution
• Bivariate tail conditional co-expectation for elliptical distributions

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