First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation  

作　　者：XING Guodong YANG Shanchao 

机构地区：[1]School of Mathematics and Statistics,Hefei Normal University,Hefei 230601,China [2]School of Mathematicsand Statistics,Yulin Normal University,Yulin 537000,China [3]School of Mathematics and Statistics,Guangri Normnl University,Guilin 541004,China

出　　处：《Journal of Systems Science & Complexity》2020年第5期1533-1544,共12页系统科学与复杂性学报（英文版）

基　　金：supported by the Important Natural Science Foundation of Colleges and Universities of Anhui Province under Grant No.KJ2020A0122;the Scientific Research Start-up Foundation of Hefei Normal University。

摘　　要：In the context of multivariate regular variation,the authors establish the first-order asymptotics of the spectral risk measure of portfolio loss.Furthermore,by the notion of second-order regular variation,the second-order asymptotics of the spectral risk measure of portfolio loss is also presented.In order to illustrate the derived results,a numerical example with Monte Carlo simulation is carried out.

关 键 词：ASYMPTOTICS multivariate regular variation regular variation second-order regular variation spectral risk measure VALUE-AT-RISK 

分 类 号：F830.9[经济管理—金融学] F224