Stable Modeling of Value at Risk.

The Value-at-Risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional approaches to VAR computations - the variance-covariance method, historical simulation, Monte Carlo simulation, and stress-testing - do not provide satisfactory evaluation of possible losses. In this paper we analyze the use of stable Paretian distributions in VAR modeling.

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Year of publication:	2000
Authors:	Khindanova, I.N. ; Rachev, S.T. ; Schwartz, E.
Subject:	RISK \| ECONOMETRICS \| ECONOMIC MODELS

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Type of publication:	Book / Working Paper
Notes:	52 pages
Classification:	C00 - Mathematical and Quantitative Methods. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; C50 - Econometric Modeling. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005245539