On Multivariate Extensions of Conditional-Tail-Expectation
Résumé
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.
Origine | Fichiers produits par l'(les) auteur(s) |
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