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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2017.3
- 수록면
- 421 - 433 (13page)
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초록· 키워드
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The CTE (conditional tail expectation) is a useful risk management measure for a diversified investment portfolio that can be generally estimated by using a transformed univariate distribution. Hong et al. (2016) proposed a multivariate CTE based on multivariate quantile vectors, and explored its characteristics for multivariate normal distributions. Since most real financial data is not distributed symmetrically, it is problematic to apply the CTE to normal distributions. In order to obtain a multivariate CTE for various kinds of joint distributions, distribution fitting methods using copula functions are proposed in this work. Among the many copula functions, the Clayton, Frank, and Gumbel functions are considered, and the multivariate CTEs are obtained by using their generator functions and parameters. These CTEs are compared with CTEs obtained using other distribution functions. The characteristics of the multivariate CTEs are discussed, as are the properties of the distribution functions and their corresponding accuracy. Finally, conclusions are derived and presented with illustrative examples.
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참고문헌 (24)
참고문헌 신청
[학술지(정기간행물)] - Acerbi, C. / 2002 / Expected shortfall : A natural coherent alternative to VaR / Economic Notes 31 : 379 ~ 388
[학술지(정기간행물)] - Andersson, F. / 2001 / Credit risk optimization with conditional value-at-risk criterion / Mathematical Programming 89 : 273 ~ 291
[학술지(정기간행물)] - Artzner, P. / 1999 / Coherent measures of risk / Mathematical Finance 9 : 203 ~ 228
[학술지(정기간행물)] - Cai, J. / 2005 / Conditional tail expectations for multivariate phase-type distributions / Journal of Applied Probability 42 : 810 ~ 825
[학술지(정기간행물)] - Cousin, A. / 2013 / On multivariate extensions of value-at-risk / Journal of Multivariate Analysis 119 : 32 ~ 46
[학술지(정기간행물)] - Andersson, F. / 2001 / Credit risk optimization with conditional value-at-risk criterion / Mathematical Programming 89 : 273 ~ 291
[학술지(정기간행물)] - Artzner, P. / 1999 / Coherent measures of risk / Mathematical Finance 9 : 203 ~ 228
[학술지(정기간행물)] - Cai, J. / 2005 / Conditional tail expectations for multivariate phase-type distributions / Journal of Applied Probability 42 : 810 ~ 825
[학술지(정기간행물)] - Cousin, A. / 2013 / On multivariate extensions of value-at-risk / Journal of Multivariate Analysis 119 : 32 ~ 46
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UCI(KEPA) : I410-ECN-0101-2018-041-001369282