Properties and calculation of multivariate risk measures: MVaR and MCVaR

Jinwook Lee () and András Prékopa ()

Annals of Operations Research, 2013, vol. 211, issue 1, 225-254

Abstract: A recent paper by Prékopa (Ann. Oper. Res. 193(1):49–69, 2012 ) presented results in connection with Multivariate Value-at-Risk (MVaR) that has been known for some time under the name of p-quantile or p-Level Efficient Point (pLEP) and introduced a new multivariate risk measure, called Multivariate Conditional Value-at-Risk (MCVaR). The purpose of this paper is to further develop the theory and methodology of MVaR and MCVaR. This includes new methods to numerically calculate MCVaR, for both continuous and discrete distributions. Numerical examples with recent financial market data are presented. Copyright Springer Science+Business Media New York 2013

Keywords: Multivariate risk measure; Multivariate value-at-risk (MVaR); Multivariate conditional value-at-risk (MCVaR); Multivariate quantile function; Multivariate stochastic order; Risk management for correlated assets; Stochastic optimization (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10479-013-1482-5 (text/html)
Access to full text is restricted to subscribers.

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:spr:annopr:v:211:y:2013:i:1:p:225-254:10.1007/s10479-013-1482-5

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-013-1482-5

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().