In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more...

Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory. There are however limitations of some widely-used risk management methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical...

In this paper we propose the GHADA risk management model that is based on the gener- alized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Com- pared to the normal distribution, the GH distribution possesses semi-heavy tails and repre- sents the financial risk factors...