Arias-Serna, M. Andrea; Loubes, Jean Michel; … - In: Risks : open access journal 10 (2022) 9, pp. 1-15
When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and … task, we propose a novel multi-variate risk measure, based on the notion of the Wasserstein barycenter. The proposed … which facilitate its use in day-to-day risk management. The performance of the new multi-variate risk measures is …