Computing VaR and AVaR In Infinitely Divisible Distributions
Year Of Publication: 2009
Month Of Publication: March
Pages: 37
Download Count: 3
View Count: 52
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-29-2010
Publisher: Administrator
Summary
In this paper we derive closed-form solutions for the cumulative density
function and the average value-at-risk for five subclasses of the infinitely
divisible distributions: classical tempered stable distribution, Kim-Rachev
distribution, modified tempered stable distribution, normal tempered stable
distribution, and rapidly decreasing tempered stable distribution. We present
empirical evidence using the daily performance of the S&P 500 for the period
January 2, 1997 through December 29, 2006.
function and the average value-at-risk for five subclasses of the infinitely
divisible distributions: classical tempered stable distribution, Kim-Rachev
distribution, modified tempered stable distribution, normal tempered stable
distribution, and rapidly decreasing tempered stable distribution. We present
empirical evidence using the daily performance of the S&P 500 for the period
January 2, 1997 through December 29, 2006.
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stable distribution CVaR average Value-at-Risk
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VaR Methods——Evaluation/Comparison
stable distribution CVaR average Value-at-Risk
Find all documents in these Categories:
VaR Methods——Evaluation/Comparison
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