Conditional Value at Risk and Partial Moments for the Metalog Distributions
7 Pages Posted: 12 Mar 2021
Date Written: November 30, 2019
Abstract
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.
Keywords: metalog distribution, CVaR, conditional value at risk, tail conditional expectation
JEL Classification: G32, C46
Suggested Citation: Suggested Citation