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http://dx.doi.org/10.7465/jkdi.2017.28.1.119

CTE with weighted portfolios  

Hong, Chong Sun (Department of Statistics, Sungkyunkwan University)
Shin, Dong Sik (Department of Statistics, Sungkyunkwan University)
Kim, Jae Young (Department of Statistics, Sungkyunkwan University)
Publication Information
Journal of the Korean Data and Information Science Society / v.28, no.1, 2017 , pp. 119-130 More about this Journal
Abstract
In many literatures on VaR and CTE for multivariate distribution, these are estimated by using transformed univariate distribution with a specific ratio of many kinds of portfolios. Even though there are lots of works to define quantiles for multivariate distributions, there does not exist a quantile uniquely. Hence, it is not easy to define the VaR and CTE. In this paper, we propose the weighted CTE vectors corresponding to various ratio combinations of many kinds of portfolios by extending the researches on the alternative VaR and integrated multivariate CTE based on multivariate quantiles. We extend relation equations about univariate CTEs to multivariate CTE vectors and discuss their characteristics. The proposed weighted CTEs are explored with some data from multivariate normal distribution and illustrative examples.
Keywords
Correlation; loss; portfolio; quantile; risk; value at risk (VaR); weight;
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Times Cited By KSCI : 5  (Citation Analysis)
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