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Risks 2019, 7(1), 31; https://doi.org/10.3390/risks7010031

On Double Value at Risk

1
,
2,†
and
1,*,†
1
School of Science, Nanjing University of Science and Technology, Nanjing 210094, China
2
Securities Co., Ltd., Beijing 102627, China
*
Author to whom correspondence should be addressed.
These authors contributed equally to this work.
Received: 10 February 2019 / Revised: 2 March 2019 / Accepted: 5 March 2019 / Published: 8 March 2019
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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. View Full-Text
Keywords: double-VaR; joint confidence region; (μ,VaR2) double-VaR; joint confidence region; (μ,VaR2)
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Zhang, W.; Zhang, S.; Zhao, P. On Double Value at Risk. Risks 2019, 7, 31.

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