Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions

Baishuai Zuo, Chuancun Yin, Jing Yao

In this paper, we propose the multivariate range Value-at-Risk (MRVaR) and the multivariate range covariance (MRCov) as two risk measures and explore their desirable properties in…