Bivariate value-at-risk
In this paper we extend the concept of Value-at-risk (VaR) to bivariate return distributions in order to obtain measures of the market risk of an asset taking into account additional features linked to downside risk exposure. We first present a general definition of risk as the probability of an adv...
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| Format: | Article |
| Language: | English |
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University of Bologna
2007-10-01
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| Series: | Statistica |
| Online Access: | http://rivista-statistica.unibo.it/article/view/404 |