Format:
1 Online-Ressource (7 p)
Content:
The metalog distributions represent a convenient way to approach many practical application. Their distinctive feature is simple closed-form expressions for quantile functions. This paper contributes to further development of the metalog distributions by deriving the closed-form expressions for the Conditional Value at Risk, a risk measure that is closely related to the tail conditional expectations. It also addressed the derivation of the first-order partial moments and shows that they are convex with respect to the vector of the metalog distribution parameters
Note:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 30, 2019 erstellt
Language:
English
DOI:
10.2139/ssrn.3777921
