• DocumentCode
    3257548
  • Title

    Application of VaR based on stable distribution

  • Author

    Wang, Yuling ; Xu, Yuhua ; Ma, Junhai ; Wang, Jing

  • Author_Institution
    Sch. of Manage., Tianjin Univ., Tianjin, China
  • Volume
    9
  • fYear
    2010
  • fDate
    16-18 Oct. 2010
  • Firstpage
    4193
  • Lastpage
    4196
  • Abstract
    Value at risk is widely applied to estimated market risks. But it lacks a convincing technique capturing the observed phenomena in financial data such as heavy-tails, time -varying and short and long-range dependence. The stable distribution can deal with these problems well. The demonstrative research shows that VaR based on stable distribution can solve these problems better than the traditional normal distribution.
  • Keywords
    financial management; market research; risk analysis; statistical distributions; stock markets; VaR; financial data; heavy tail; market risk; normal distribution; stable distribution; value at risk; Educational institutions; Finance; Gaussian distribution; Indexes; Loss measurement; Portfolios; Testing; Heavy Tail; Market Risks; Stable Distribution; VaR;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Image and Signal Processing (CISP), 2010 3rd International Congress on
  • Conference_Location
    Yantai
  • Print_ISBN
    978-1-4244-6513-2
  • Type

    conf

  • DOI
    10.1109/CISP.2010.5646828
  • Filename
    5646828