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