2 papers
stat.AP2020
Risk Measures Estimation Under Wasserstein Barycenter
M. Andrea Arias-Serna, Jean-Michel Loubes, Francisco J. Caro-Lopera
Randomness in financial markets requires modern and robust multivariate models of risk measures. This paper proposes a new approach for modeling multivariate risk measures under Wa…
math.ST2018
Risk Measures and Credit Risk Under the Beta-Kotz Distribution
Jean-Michel Loubes, M Andrea Arias-Serna, Francisco Caro-Lopera
This paper considers the use for Value-at-Risk computations of the so-called Beta-Kotz distribution based on a general family of distributions including the classical Gaussian mode…