Dependent conditional value-at-risk for aggregate risk models
Risk measure forecast and model have been developed in order to not only provide better forecast but also preserve its (empirical) property especially coherent property. Whilst the widely used risk measure of Value-at-Risk (VaR) has shown its performance and benefit in many applications, it is in fa...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-07-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844021015954 |