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
Link To Document :
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