Risk capital decomposition for a multivariate dependent gamma portfolio
نویسندگان
چکیده
This paper examines the tail conditional expectation risk measure (TCE) in the case of a multivariate gamma portfolio of risks. Explicit formulas for both the TCE and the risk capital allocations based on it are provided in the context of the multivariate model possessing dependent gamma marginals. Some of our results exceed the frameworks of the multivariate gamma distributions and may be applied to other non-negative risks. 2005 Elsevier B.V. All rights reserved.
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...
متن کاملOn the economic risk capital of portfolio insurance
A formula for the conditional value-at-risk of classical portfolio insurance is derived and shown to be constant for sufficiently small loss probabilities. As illustrations, we discuss portfolio insurance for an equity market index using empirical data, and analyze the more general multivariate situation of a portfolio of risky assets. 1. Introduction. Portfolio insurance, introduced by Leland ...
متن کاملMultivariate Fréchet copulas and conditional value-at-risk
Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas. It fulfills the four most desirable properties that a multivariate statistical model should satisfy. In particular, the bivariat...
متن کاملSingle Index and Portfolio Models for Forecasting Value-at-Risk Thresholds
The variance of a portfolio can be forecasted using a single index model or the covariance matrix of the portfolio. Using univariate and multivariate conditional volatility models, this paper evaluates the performance of the single index and portfolio models in forecasting Value-at-Risk (VaR) thresholds of a portfolio. The LR tests of unconditional coverage, independence and conditional coverag...
متن کاملRobust Portfolio Optimization with risk measure CVAR under MGH distribution in DEA models
Financial returns exhibit stylized facts such as leptokurtosis, skewness and heavy-tailness. Regarding this behavior, in this paper, we apply multivariate generalized hyperbolic (mGH) distribution for portfolio modeling and performance evaluation, using conditional value at risk (CVaR) as a risk measure and allocating best weights for portfolio selection. Moreover, a robust portfolio optimizati...
متن کامل