First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation

First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation

In the context of multivariate regular variation, the authors establish the first-order asymptotics of the spectral risk measure of portfolio loss. Furthermore, by the notion of second-order regular variation, the second-order asymptotics of the spectral risk measure of portfolio loss is also presen...

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Veröffentlicht in:Journal of systems science and complexity 2020-10, Vol.33 (5), p.1533-1544
Hauptverfasser: Xing, Guodong, Yang, Shanchao
Format: Artikel
Sprache:eng
Schlagworte:
Asymptotic properties
Complex Systems
Control
Mathematics
Mathematics and Statistics
Mathematics of Computing
Monte Carlo simulation
Multivariate analysis
Operations Research/Decision Theory
Risk
Spectra
Statistics
Systems Theory
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Zusammenfassung:In the context of multivariate regular variation, the authors establish the first-order asymptotics of the spectral risk measure of portfolio loss. Furthermore, by the notion of second-order regular variation, the second-order asymptotics of the spectral risk measure of portfolio loss is also presented. In order to illustrate the derived results, a numerical example with Monte Carlo simulation is carried out.
ISSN:1009-6124
1559-7067
DOI:10.1007/s11424-020-8037-z