Zhang, Wanbing; Zhang, Sisi; Zhao, Peibiao - In: Risks : open access journal 7 (2019) 1/31, pp. 1-22
Value at Risk (VaR) is used to illustrate the maximum potential loss under a given confidence level, and is just a single indicator to evaluate risk ignoring any information about income. The present paper will generalize one-dimensional VaR to two-dimensional VaR with income-risk double...
