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A directional multivariate value at risk |
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| Affiliation: | 1. School of Chemical Engineering and Analytical Science, University of Manchester, M13 9PL, UK;2. Faculty of Life Sciences, University of Manchester, M13 9PL, UK;1. School of Finance, Guangdong University of Foreign Studies, Guangzhou 510006, China;2. Sun Yat-sen Business School, Sun Yat-sen University, Guangzhou 510275, China;3. Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong |
| Abstract: | |
| Keywords: | Multivariate risks Value at risk Directional approach Multivariate quantile Copula |
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