Stable modeling of value at risk

DOI10.1016/S0895-7177(01)00129-7zbMath1008.91063OpenAlexW2033174532MaRDI QIDQ1600544

Eduardo S. Schwartz, Irina Khindanova, Svetlozar T. Rachev

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00129-7

zbMATH Keywords

value-at-riskmarket risksstable Paretian distributionsVAR computations

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (5)

A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL ⋮ Regulation Risk ⋮ The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach ⋮ Indirect estimation of \(\alpha \)-stable stochastic volatility models ⋮ The impact of fat tails on equilibrium rates of return and term premia

Uses Software

• RiskMetrics

Cites Work

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