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....
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-03-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/7/1/31 |