Similar Search Results

On multivariate extensions of the conditional value-at-risk measure

Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16

Persistent link: https://www.econbiz.de/10010515946

Multivariate tail conditional expectation for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 70 (2016), pp. 216-223

Persistent link: https://www.econbiz.de/10011597276

A multivariate tail covariance measure for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 81 (2018), pp. 27-35

Persistent link: https://www.econbiz.de/10011904613

Multiple risk factor dependence structures : distributional properties

Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 76 (2017), pp. 56-68

Persistent link: https://www.econbiz.de/10011774770

Ranking the extreme claim amounts in dependent individual risk models

Torrado, Nuria; Navarro, Jorge - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 218-247

Persistent link: https://www.econbiz.de/10012500261

Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models

Shushi, Tomer; Yao, Jing - In: Insurance / Mathematics & economics 93 (2020), pp. 178-186

Persistent link: https://www.econbiz.de/10012294094

Managing portfolio risk using multivariate extreme value methods

Hilal, Sawson; Poon, Ser-Huang; Tawn, Jonathan - 2013

This paper provides a strategy for portfolio risk management by inferring extreme movements in financial markets. The … generation for future returns, estimation of portfolio profit-and-loss distribution and calculation of risk measures, and hence …

Persistent link: https://www.econbiz.de/10010206955

Portfolio optimization using multivariate t-copulas with conditionally skewed margins

Shekhar, Chirag; Trede, Mark - In: Review of economics & finance 9 (2017) 3, pp. 29-41

Persistent link: https://www.econbiz.de/10011718727

The impact of extreme events on portfolio in financial risk management

Chuangchid, K.; Kittawit Autchariyapanitkul; Songsak … - In: Robustness in econometrics, (pp. 679-690). 2017

Persistent link: https://www.econbiz.de/10011802012

Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach

B. Sabino da Silva, Fernando - 2018

Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining … Copula-CVaR approach generates portfolios with better downside risk statistics for any rebalancing period and it is more …

Persistent link: https://www.econbiz.de/10012931953