Name
Title | ||
|---|---|---|
First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation |
Abstract | ||
|---|---|---|
In the context of multivariate regular variation, the authors establish the first-order asymptotics of the spectral risk measure of portfolio loss. Furthermore, by the notion of second-order regular variation, the second-order asymptotics of the spectral risk measure of portfolio loss is also presented. In order to illustrate the derived results, a numerical example with Monte Carlo simulation is carried out. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1007/s11424-020-8037-z | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY |
Keywords | DocType | Volume |
Asymptotics,multivariate regular variation,regular variation,second-order regular variation,spectral risk measure,value-at-risk | Journal | 33.0 |
Issue | ISSN | Citations |
5.0 | 1009-6124 | 0 |
PageRank | References | Authors |
0.34 | 0 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Guodong Xing | 1 | 0 | 0.34 |
| Shanchao Yang | 2 | 11 | 3.88 |