Conditional Value at Risk and Partial Moments for the Metalog Distributions

Abstract

The metalog distributions represent a convenient way to approach many practical applications. 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.

Tasks

Reproductions