Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios

Mélina Mailhot and Mhamed Mesfioui
Additional contact information
Mélina Mailhot: Department of Mathematics and Statistics, Concordia University, 1400 de Maisonneuve Blvd. West, Montréal, QC H3G 1M8, Canada
Mhamed Mesfioui: Département de Mathématiques et d’Informatique, Université du Québec à Trois-Rivières, 3351, Boulevard des Forges, Trois-Rivières, QC G9A 5H7, Canada

Risks, 2016, vol. 4, issue 4, 1-16

Abstract: 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 be used for capital allocation. In this paper, we present multivariate value-at-risk and tail-value-at-risk for d ? 2 , and we focus on three different methods to calculate optimal values for the contribution of each risk within the sums of random vectors to the overall portfolio, which could particularly apply to insurance and financial portfolios.

Keywords: multivariate tail value-at-risk; risk contribution; capital allocation; risk decomposition (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.mdpi.com/2227-9091/4/4/33/pdf (application/pdf)
https://www.mdpi.com/2227-9091/4/4/33/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:4:y:2016:i:4:p:33-:d:78760

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().