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- Title
On Double Value at Risk.
- Authors
Zhang, Wanbing; Zhang, Sisi; Zhao, Peibiao
- Abstract
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 , V a R 2) ) indicators, and deduce the joint confidence region of (μ , σ 2) (or (μ , V a R 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.
- Subjects
VALUE at risk; ECONOMIC indicators; LIKELIHOOD ratio tests; EMPIRICAL research; ECONOMIC models
- Publication
Risks, 2019, Vol 7, Issue 1, p31
- ISSN
2227-9091
- Publication type
Article
- DOI
10.3390/risks7010031