Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios
نویسندگان
چکیده
منابع مشابه
Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios
In order to protect stakeholders of insurance companies and financial institutions against adverse outcomes of risky businesses, regulators and senior management use capital allocation techniques. For enterprise-wide risk management, it has become important to calculate the contribution of each risk within a portfolio. For that purpose, bivariate lower and upper orthant tail value-at-risk can b...
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ژورنال
عنوان ژورنال: Risks
سال: 2016
ISSN: 2227-9091
DOI: 10.3390/risks4040033