Conditional Value at Risk and Partial Moments for the Metalog Distributions

The metalog distributions represent a convenient way to approach many practical application. Their distinctive feature is simple closed-form expressions for quantile functions. This paper contributes to further development of the metalog distributions by deriving the closed-form expressions for the Conditional Value at Risk, a risk measure that is closely related to the tail conditional expectations. It also addressed the derivation of the first-order partial moments and shows that they are convex with respect to the vector of the metalog distribution parameters

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Year of publication:	[2021]
Authors:	Khokhlov, Valentyn
Publisher:	[S.l.] : SSRN
Subject:	Risikomaß \| Risk measure \| Theorie \| Theory \| Statistische Verteilung \| Statistical distribution \| Risiko \| Risk \| Portfolio-Management \| Portfolio selection

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