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Quantitative Finance > Risk Management

Title: Approximation of Some Multivariate Risk Measures for Gaussian Risks

Authors: E. Hashorva
Abstract: Gaussian random vectors exhibit the loss of dimension phenomena, which relate to their joint survival tail behaviour. Besides, the fact that the components of such vectors are light-tailed complicates the approximations of various multivariate risk measures significantly. In this contribution we derive precise approximations of marginal mean excess, marginal expected shortfall and multivariate conditional tail expectation of Gaussian random vectors and highlight links with conditional limit theorems. Our study indicates that similar results hold for elliptical and Gaussian like multivariate risks.
Subjects: Risk Management (q-fin.RM); Probability (math.PR)
Cite as: arXiv:1803.06922 [q-fin.RM]
  (or arXiv:1803.06922v1 [q-fin.RM] for this version)

Submission history

From: Enkelejd Hashorva [view email]
[v1] Wed, 14 Mar 2018 20:19:39 GMT (19kb)