Vector-valued tail value-at-risk and capital allocation

DOI10.1007/S11009-015-9444-9MaRDI QIDQ340111zbMATH OpenOpenAlexFDO

Authors Hélène Cossette, Mélina Mailhot, É. Marceau, Mhamed Mesfioui

Publication date 11 November 2016

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-015-9444-9

zbMATH Keywords

bivariate tail value-at-riskboundscapital allocationcopulasmultivariate risk measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Bivariate lower and upper orthant value-at-risk
• Risk evaluation and capital allocation based on TVaR and EVaR with copula
• On multivariate extensions of value-at-risk
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• On multivariate extensions of conditional-tail-expectation

Cites work

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• Coherent measures of risk
• Comparison methods for stochastic models and risks
• Comparison of conditional distributions in portfolios of dependent risks
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• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• On a new notion of multidimensional quantile
• On dependence consistency of CoVaR and some other systemic risk measures
• On multivariate extensions of conditional-tail-expectation
• On multivariate extensions of the conditional value-at-risk measure
• On multivariate extensions of value-at-risk
• Quantile curves and dependence structure for bivariate distributions
• Quantile functions for multivariate analysis: approaches and applications
• Random variables with maximum sums
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
• Vector risk functions
• Vector-valued coherent risk measure processes
• Vector-valued coherent risk measures

Cited in

(16)

• Vector risk functions
• Semi-parametric estimation of multivariate extreme expectiles
• Multivariate matrix-exponential affine mixtures and their applications in risk theory
• Vector-valued multivariate conditional value-at-risk
• GlueVaR risk measures in capital allocation applications
• Multivariate geometric expectiles
• A consistent estimator to the orthant-based tail value-at-risk
• Bivariate lower and upper orthant value-at-risk
• Risk evaluation and capital allocation based on TVaR and EVaR with copula
• A multivariate CVaR risk measure from the perspective of portfolio risk management
• MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
• Risk allocation through shapley decompositions, with applications to variable annuities
• Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples
• Copula conditional tail expectation for multivariate financial risks
• Modeling discrete common-shock risks through matrix distributions
• Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models

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