Risk measures: a generalization from the univariate to the m

Risk measures: a generalization from the univariate to the matrix-variate


Risk measures: a generalization from the univariate to the matrix-variate
This paper proposes a method to calculate matrix-variate value-at-risk.
This paper develops a method for estimating the value-at-risk and the conditional value-at-risk when the underlying risk factors follow a beta distribution in a univariate and matrix-variate setting.
Analytical expressions of the risk measures are developed.
A numerical solution for the risk measures for any parameterization of beta distributed loss variables is presented.
Of fundamental importance is the application of computer-based algorithms for solving classically analytic problems in financial risk management. The data we acquired from Colombian financial institutions are considered using both algorithmic and analytic methods. Our results demonstrate a correspondence between the two. Although our results are motivated by problems in finance, we believe that our methods may well more general applications as well.

Related Keywords

, Beta , Frisk Measures , Gaussian Model , Risk , Value At Risk Var , Conditional Value At Risk Cvar , Original Research , பீட்டா , இஸ்க் ,

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