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On Multivariate Extensions of Value-at-Risk

Citations

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Cited by:

  1. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Impact of Dependence on Some Multivariate Risk Indicators," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 395-427, June.
  2. Coblenz, Maximilian & Grothe, Oliver & Schreyer, Manuela & Trutschnig, Wolfgang, 2018. "On the length of copula level curves," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 347-365.
  3. Cousin, Areski & Di Bernardino, Elena, 2014. "On multivariate extensions of Conditional-Tail-Expectation," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 272-282.
  4. Goegebeur, Yuri & Guillou, Armelle & Ho, Nguyen Khanh Le & Qin, Jing, 2023. "A Weissman-type estimator of the conditional marginal expected shortfall," Econometrics and Statistics, Elsevier, vol. 27(C), pages 173-196.
  5. Maume-Deschamps Véronique & Rullière Didier & Said Khalil, 2017. "Multivariate extensions of expectiles risk measures," Dependence Modeling, De Gruyter, vol. 5(1), pages 20-44, January.
  6. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01467857, HAL.
  7. Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
  8. Elena Di Bernardino & Clémentine Prieur, 2014. "Estimation of multivariate conditional-tail-expectation using Kendall's process," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(2), pages 241-267, June.
  9. Das, Bikramjit & Fasen-Hartmann, Vicky, 2024. "On heavy-tailed risks under Gaussian copula: The effects of marginal transformation," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
  10. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate Extensions Of Expectiles Risk Measures," Working Papers hal-01367277, HAL.
  11. repec:hal:wpaper:hal-01171395 is not listed on IDEAS
  12. Michele, Carlo de & Laniado Rodas, Henry, 2016. "Directional multivariate extremes in environmental phenomena," DES - Working Papers. Statistics and Econometrics. WS 23419, Universidad Carlos III de Madrid. Departamento de Estadística.
  13. Torres, Raúl & Lillo, Rosa E. & Laniado, Henry, 2015. "A directional multivariate value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 111-123.
  14. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Post-Print halshs-01467857, HAL.
  15. Merve Merakli & Simge Kucukyavuz, 2017. "Vector-Valued Multivariate Conditional Value-at-Risk," Papers 1708.01324, arXiv.org.
  16. Edward W. Sun & Yu-Jen Wang & Min-Teh Yu, 2018. "Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 627-652, August.
  17. Bikramjit Das & Vicky Fasen-Hartmann, 2023. "On heavy-tailed risks under Gaussian copula: the effects of marginal transformation," Papers 2304.05004, arXiv.org.
  18. Bazovkin, Pavel, 2014. "Geometrical framework for robust portfolio optimization," Discussion Papers in Econometrics and Statistics 01/14, University of Cologne, Institute of Econometrics and Statistics.
  19. Elena Di Bernardino & Didier Rullière, 2012. "Distortions of multivariate risk measures: a level-sets based approach," Working Papers hal-00756387, HAL.
  20. Matthias Fischer & Thorsten Moser & Marius Pfeuffer, 2018. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations," Risks, MDPI, vol. 6(4), pages 1-28, December.
  21. Di Bernardino, Elena & Rullière, Didier, 2013. "Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 190-205.
  22. Hamel, Andreas H. & Kostner, Daniel, 2018. "Cone distribution functions and quantiles for multivariate random variables," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 97-113.
  23. Areski Cousin & Elena Di Bernardino, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.
  24. Zhu, Yunzhou & Chi, Yichun & Weng, Chengguo, 2014. "Multivariate reinsurance designs for minimizing an insurer’s capital requirement," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 144-155.
  25. Xiaochun Meng & James W. Taylor & Souhaib Ben Taieb & Siran Li, 2020. "Scores for Multivariate Distributions and Level Sets," Papers 2002.09578, arXiv.org, revised Jun 2023.
  26. Christoph Frei, 2020. "A New Approach to Risk Attribution and Its Application in Credit Risk Analysis," Risks, MDPI, vol. 8(2), pages 1-13, June.
  27. Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "Risk measurement of joint risk of portfolios: a liquidity shortfall aspect," Papers 2212.04848, arXiv.org, revised May 2024.
  28. Ra'ul Torres & Rosa E. Lillo & Henry Laniado, 2015. "A Directional Multivariate Value at Risk," Papers 1502.00908, arXiv.org.
  29. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
  30. Di Bernardino, E. & Fernández-Ponce, J.M. & Palacios-Rodríguez, F. & Rodríguez-Griñolo, M.R., 2015. "On multivariate extensions of the conditional Value-at-Risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 1-16.
  31. Elena Bernardino & Thomas Laloë & Rémi Servien, 2015. "Estimating covariate functions associated to multivariate risks: a level set approach," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(5), pages 497-526, July.
  32. Roba Bairakdar & Lu Cao & Melina Mailhot, 2020. "Range Value-at-Risk: Multivariate and Extreme Values," Papers 2005.12473, arXiv.org.
  33. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  34. Hélène Cossette & Mélina Mailhot & Étienne Marceau & Mhamed Mesfioui, 2016. "Vector-Valued Tail Value-at-Risk and Capital Allocation," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 653-674, September.
  35. repec:hal:wpaper:hal-00750873 is not listed on IDEAS
  36. Sordo, Miguel A., 2016. "A multivariate extension of the increasing convex order to compare risks," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 224-230.
  37. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2018.
  38. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
  39. Shushi, Tomer & Yao, Jing, 2020. "Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 178-186.
  40. Klaus Herrmann & Marius Hofert & Melina Mailhot, 2017. "Multivariate Geometric Expectiles," Papers 1704.01503, arXiv.org, revised Jan 2018.
  41. Daouia, Abdelaati & Paindaveine, Davy, 2019. "Multivariate Expectiles, Expectile Depth and Multiple-Output Expectile Regression," TSE Working Papers 19-1022, Toulouse School of Economics (TSE), revised Feb 2023.
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