First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation
2020
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.
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