After a few years, I decided to put online some lectures notes I had from a graduate course I gave over one (long) day in 2014, in Leuven, entitled “an introduction to multivariate and dynamic risk measures”. The notes are now available on hal. I just hope that it might be usefull to someone…
OpenEdition suggests that you cite this post as follows:
Arthur Charpentier (July 17, 2018). Multivariate and dynamic risk measures. Freakonometrics. Retrieved September 14, 2026 from https://doi.org/10.58079/ovbf