VALUE-AT-RISK

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First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation被引量：2
《Journal of Systems Science & Complexity》2020年第5期1533-1544,共12页XING Guodong YANG Shanchao 
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。
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-...
关键词：ASYMPTOTICS multivariate regular variation regular variation second-order regular variation spectral risk measure VALUE-AT-RISK 
Copula-Based Risk Management Models for Multivariable RMB Exchange Rate in the Process of RMB Internationalization被引量：2
《Journal of Systems Science & Complexity》2017年第3期660-679,共20页DU Jiangze LAI Kin Keung 
supported by Strategic Research Grant of City University of Hong Kong under Grant No.7004268
This paper investigates the dependence of the exchange rate of onshore Renminbi(RMB)and offshore RMB against US dollar(i.e., CNY and CNH) based on copula models. Eleven different copulas were selected to construct mul...
关键词：Copula modeling RMB exchange rate RMB internationalization value-at-risk. 
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