%0 Journal Article
%T On Double Value at Risk
%J Risks | An Open Access Journal from MDPI
%D 2019
%R https://doi.org/10.3390/risks7010031
%X Value at Risk (VaR) is used to illustrate the maximum potential loss under a given confidence level, and is just a single indicator to evaluate risk ignoring any information about income. The present paper will generalize one-dimensional VaR to two-dimensional VaR with income-risk double indicators. We first construct a double-VaR with ( ¦Ì , ¦Ò 2 ) (or ( ¦Ì , V a R 2 ) ) indicators, and deduce the joint confidence region of ( ¦Ì , ¦Ò 2 ) (or ( ¦Ì , V a R 2 ) ) by virtue of the two-dimensional likelihood ratio method. Finally, an example to cover the empirical analysis of two double-VaR models is stated. View Full-Tex
%U https://www.mdpi.com/2227-9091/7/1/31