Artikel
On double value at risk
Value at Risk (VaR) is used to illustrate the maximum potential loss under a given confidence level, and is just a single indicator to evaluate risk ignoring any information about income. The present paper will generalize one-dimensional VaR to two-dimensional VaR with income-risk double indicators. We first construct a double-VaR with (μ,σ 2 ) (or (μ,VaR 2 ) indicators, and deduce the joint confidence region of (μ,σ 2 ) (or (μ,VaR 2 ) by virtue of the two-dimensional likelihood ratio method. Finally, an example to cover the empirical analysis of two double-VaR models is stated.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-22 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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double-VaR
joint confidence region
(m,VaR2)
- Event
-
Geistige Schöpfung
- (who)
-
Zhang, Wanbing
Zhang, Sisi
Zhao, Peibiao
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2019
- DOI
-
doi:10.3390/risks7010031
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Zhang, Wanbing
- Zhang, Sisi
- Zhao, Peibiao
- MDPI
Time of origin
- 2019
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