Conditional Value at Risk and Partial Moments for the Metalog Distributions

Valentyn Khokhlov

Papers from arXiv.org

Abstract: The metalog distributions represent a convenient way to approach many practical applications. Their distinctive feature is simple closed-form expressions for quantile functions. This paper contributes to further development of the metalog distributions by deriving the closed-form expressions for the Conditional Value at Risk, a risk measure that is closely related to the tail conditional expectations. It also addressed the derivation of the first-order partial moments and shows that they are convex with respect to the vector of the metalog distribution parameters.

Date: 2021-02
New Economics Papers: this item is included in nep-rmg
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