On multivariate extensions of Value-at-Risk

In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk portfolio. The lower-orthant VaR is constructed from level set...

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Veröffentlicht in:	Journal of multivariate analysis 2013-08, Vol.119, p.32-46
Hauptverfasser:	Cousin, Areski, Di Bernardino, Elena
Format:	Artikel
Sprache:	eng
Schlagworte:	Copulas and dependence Level sets of distribution functions Mathematical functions Multivariate analysis Multivariate probability integral transformation Multivariate risk measures Probability distribution Risk assessment Stochastic orders Studies
Online-Zugang:	Volltext
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