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

Khokhlov, Valentyn, Conditional Value at Risk and Partial Moments for the Metalog Distributions (November 30, 2019). Available at SSRN: https://ssrn.com/abstract=3777921 or http://dx.doi.org/10.2139/ssrn.3777921

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