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
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;
Conference_Titel :
Image and Signal Processing (CISP), 2010 3rd International Congress on
Conference_Location :
Yantai
Print_ISBN :
978-1-4244-6513-2
DOI :
10.1109/CISP.2010.5646828