Computing VaR and AVaR in infinitely divisible distributions

• Autorzy: Kim Y. S. , Rachev S. T. , Bianchi M. L. , Fabozzi F. J.
• Języki publikacji: EN

Abstrakty

EN

In this paper we derive closed-form solutions for the cumulative distribution 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.

Słowa kluczowe

EN

tempered stable distribution; infinitely divisible distribution; VaR; CVaR; AVaR

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2010
• Tom: Vol. 30, Fasc. 2
• Strony: 223--245
• Opis fizyczny: Bibliogr. 24 poz., wykr.

Twórcy

autor

Kim Y. S.

• Department of Econometrics, Statistics and Mathematical Finance, School of Economics and Business Engineering, University of Karlsruhe
• KIT Kollegium am Schloss, Bau II, 20.12, R210, D-76128, Karlsruhe, Germany

autor

Rachev S. T.

• School of Economics and Business Engineering, University of Karlsruhe
• KIT, Kollegium am Schloss, Bau II, 20.12, R210, Postfach 6980, D-76128, Karlsruhe, Germany
• Department of Statistics and Applied Probability, University of California, Santa Barbara, USA
• FinAnalytica Inc.

autor

Bianchi M. L.

• Department Bank of Italy, Via Nazionale, 91, 00184, Rome, Italy

autor

Fabozzi F. J.

• Yale School of Management, New Haven, CT USA

Bibliografia

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