论文标题
风险范围值：多元和极值
Range Value-at-Risk: Multivariate and Extreme Values
论文作者
论文摘要
Cont等人提出的单变量范围值的概念。 （2010年），在多维环境中扩展。在处理重尾分布和无限尾巴期望时，传统的风险措施不适合。提供了强大的截断尾部期望的多元定义，以克服这个问题。鲁棒性和其他特性以及经验估计量被得出。还讨论了极值框架中的封闭式表达式和特殊情况。提供数值和图形示例以检查经验估计器的准确性。
The concept of univariate Range Value-at-Risk, presented by Cont et al. (2010), is extended in the multidimensional setting. Traditional risk measures are not well suited when dealing with heavy-tail distributions and infinite tail expectations. The multivariate definitions of robust truncated tail expectations are provided to overcome this problem. Robustness and other properties as well as empirical estimators are derived. Closed-form expressions and special cases in the extreme value framework are also discussed. Numerical and graphical examples are provided to examine the accuracy of the empirical estimators.
