A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities
This paper is of methodological nature, and deals with the foundations of Risk Assessment.
Several international guidelines have recently recommended to select appropriate/relevant …
Several international guidelines have recently recommended to select appropriate/relevant …
Multivariate extensions of expectiles risk measures
V Maume-Deschamps, D Rullière, K Said - Dependence Modeling, 2017 - degruyter.com
This paper is devoted to the introduction and study of a new family of multivariate elicitable
risk measures. We call the obtained vector-valued measures multivariate expectiles. We …
risk measures. We call the obtained vector-valued measures multivariate expectiles. We …
A multivariate tail covariance measure for elliptical distributions
This paper introduces a multivariate tail covariance (MTCov) measure, which is a matrix-
valued risk measure designed to explore the tail dispersion of multivariate loss distributions …
valued risk measure designed to explore the tail dispersion of multivariate loss distributions …
Shortfall Deviation Risk: an alternative to risk measurement
MB Righi, PS Ceretta - arXiv preprint arXiv:1501.02007, 2015 - arxiv.org
We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected
loss that occurs with certain probability penalized by the dispersion of results that are worse …
loss that occurs with certain probability penalized by the dispersion of results that are worse …
Remarks on a copula‐based conditional value at risk for the portfolio problem
AM Molina Barreto, N Ishimura - Intelligent Systems in …, 2023 - Wiley Online Library
We deal with a multivariate conditional value at risk. Compared with the usual notion for the
single random variable, a multivariate value at risk is concerned with several variables, and …
single random variable, a multivariate value at risk is concerned with several variables, and …
On multivariate extensions of the conditional value-at-risk measure
E Di Bernardino, JM Fernández-Ponce… - Insurance: Mathematics …, 2015 - Elsevier
CoVaR is a systemic risk measure proposed by Adrian and Brunnermeier (2011) able to
measure a financial institution's contribution to systemic risk and its contribution to the risk of …
measure a financial institution's contribution to systemic risk and its contribution to the risk of …
Multivariate geometric expectiles
A generalization of expectiles for d-dimensional multivariate distribution functions is
introduced. The resulting geometric expectiles are unique solutions to a convex risk …
introduced. The resulting geometric expectiles are unique solutions to a convex risk …
Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models
Exponential dispersion models are well used and studied in quantitative risk management
and actuarial science. One of the main interests is the risk measurement analysis of such …
and actuarial science. One of the main interests is the risk measurement analysis of such …
A discussion on recent risk measures with application to credit risk: Calculating risk contributions and identifying risk concentrations
M Fischer, T Moser, M Pfeuffer - Risks, 2018 - mdpi.com
In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk
measure in the last two decades. Nevertheless, there is a lively and controverse on-going …
measure in the last two decades. Nevertheless, there is a lively and controverse on-going …
On heavy-tailed risks under Gaussian copula: The effects of marginal transformation
B Das, V Fasen-Hartmann - Journal of Multivariate Analysis, 2024 - Elsevier
In this paper, we compute multivariate tail risk probabilities where the marginal risks are
heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-tailed …
heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-tailed …