On multivariate extensions of Conditional-Tail-Expectation.

Authors
Publication date
2014
Publication type
Journal Article
Summary In this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-Expectation (CTE) in a multivariate setting. Contrary to allocation measures or systemic risk measures, these measures are also suitable for multivariate risk problems where risks are heterogenous in nature and cannot be aggregated together.
Publisher
Elsevier BV
Topics of the publication
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