On Multivariate Extensions of Conditional-Tail-Expectation.

Authors
Publication date
2013
Publication type
Other
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.
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