On Multivariate Extensions of Conditional-Tail-Expectation
AbstractIn this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-Expectation (CTE) in a multivariate setting. Contrary to allocation measures or systemic risk measures, these measures are also suitable for multivariate risk problems where risks are heterogenous in nature and cannot be aggregated together.
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Date of creation: 28 Oct 2013
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Multivariate risk measures; Level sets of distribution functions; Multivariate probability integral transformation; Stochastic orders; Copulas and dependence.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-09 (All new papers)
- NEP-ECM-2013-11-09 (Econometrics)
- NEP-RMG-2013-11-09 (Risk Management)
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