Tail Conditional Expectation for vector-valued risks
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References listed on IDEAS
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Cited by:
- Areski Cousin & Elena Di Bernadino, 2013. "On Multivariate Extensions of Value-at-Risk," Working Papers hal-00638382, HAL.
- Areski Cousin & Elena Di Bernadino, 2011. "On Multivariate Extensions of Value-at-Risk," Papers 1111.1349, arXiv.org, revised Apr 2013.
- Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Jan 2015.
- Çağin Ararat & Andreas H. Hamel & Birgit Rudloff, 2017. "Set-Valued Shortfall And Divergence Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-48, August.
- Klaus Herrmann & Marius Hofert & Melina Mailhot, 2017. "Multivariate Geometric Expectiles," Papers 1704.01503, arXiv.org, revised Jan 2018.
- c{C}au{g}{i}n Ararat & Andreas H. Hamel & Birgit Rudloff, 2014. "Set-valued shortfall and divergence risk measures," Papers 1405.4905, arXiv.org, revised Sep 2017.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-10-07 (Finance)
- NEP-FMK-2006-10-07 (Financial Markets)
- NEP-MAC-2006-10-07 (Macroeconomics)
- NEP-RMG-2006-10-07 (Risk Management)
- NEP-UPT-2006-10-07 (Utility Models and Prospect Theory)
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