2017/04/24 by Véronique Maume‐Deschamps, Maume-Deschamps, Véronique, Didier Rullière +3
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Applications (stat.AP) #Credit Risk and Financial Regulations #FOS: Computer and information sciences #FOS: Economics and business #Financial Risk and Volatility Modeling #Probability and Risk Models #Risk Management (q-fin.RM) #Statistical Methods and Inference
paper · pdf · doi:10.48550/arxiv.1704.07152
openalex publication_date 2017/04/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multivariate regular variations context. For models with equivalent tails, we propose an estimator of these multivariate asymptotic expectiles, in the Fréchet attraction domain case, with asymptotic independence, or in the comonotonic case.