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On Multivariate Extensions of Value-at-Risk

  • Areski Cousin

    ()

    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

  • Elena Di Bernadino

    ()

    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

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    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 sets of multivariate distribution functions whereas the upper-orthant VaR is constructed from level sets of multivariate survival functions. Several properties have been derived. In particular, we show that these risk measures both satisfy the positive homogeneity and the translation invariance property. Comparison between univariate risk measures and components of multivariate VaR are provided. We also analyze how these measures are impacted by a change in marginal distributions, by a change in dependence structure and by a change in risk level. Illustrations are given in the class of Archimedean copulas.

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    Paper provided by HAL in its series Working Papers with number hal-00638382.

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    Date of creation: 04 Apr 2013
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    Handle: RePEc:hal:wpaper:hal-00638382
    Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00638382
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