The Skew Normal multivariate risk measurement framework

Mauro Bernardi (), Roy Cerqueti and Arsen Palestini ()
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Mauro Bernardi: University of Padova
Arsen Palestini: University of Rome La Sapienza

Computational Management Science, 2020, vol. 17, issue 1, No 6, 105-119

Abstract: Abstract In this paper, we consider a random vector $$X=\left( X_1,X_2\right) $$X=X1,X2 following a multivariate Skew Normal distribution and we provide an explicit formula for the expected value of X conditioned to the event $$X \le \overline{X}$$X≤X¯, with $$\overline{X} \in \mathbb {R}^2$$X¯∈R2. Such a conditional expectation has an intuitive interpretation in the context of risk measures.

Keywords: Conditional risk measures; Skew Normal distribution; Value-at-risk; Expected shortfall; 60E05; 62E15; 91G70 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10287-019-00350-8

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