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Vector-Valued Tail Value-at-Risk and Capital Allocation

  • Published:2015-04-16 Issue:3 Volume:18 Page:653-674
  • ISSN:1387-5841
  • Container-title:Methodology and Computing in Applied Probability
  • language:en
  • Short-container-title:Methodol Comput Appl Probab

Author:

Cossette Hélène,Mailhot Mélina,Marceau Étienne,Mesfioui Mhamed

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Reference27 articles.

1. Artzner P, Delbaen F, Eber J-M, Heath D (1999) Coherent measures of risk. Math Financ 9(3):203–228

2. Balbás A, Balbás R, Jiménez-Guerra P (2012) Vector risk functions. Mediterr J Math 9(3):563–574

3. Barnett V (1976) The ordering of multivariate data. J R Stat Soc Ser A 139(3):318–355

4. Basel (2003) Trends in risk integration and aggregation, the joint forum, Bank for International Settlements. http://www.bis.org

5. Basel (2004) International convergence of capital measurement and capital standards: a revised framework
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