Stable modeling of value at risk

DOI10.1016/S0895-7177(01)00129-7zbMATH Open1008.91063OpenAlexW2033174532MaRDI QIDQ1600544FDOQ1600544

Eduardo S. Schwartz, Irina N. 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)

Cites Work

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• Regression-Type Estimation of the Parameters of Stable Laws
• The estimation of the parameters of the stable laws
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
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• Statistical methods in finance
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• MULTIVARIATE STABLE FUTURES PRICES
• Parameter Estimates for Symmetric Stable Distributions
• Maximum likelihood estimation of stable Paretian models.
• Testing multivariate symmetry
• Simple consistent estimators of stable distribution parameters
• An iterative procedure for the estimation of the parameters of stable laws
• Estimation in Univariate and Multivariate Stable Distributions
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• Laplace-Weibull Mixtures for Modeling Price Changes
• The theory of geometric stable distributions and its use in modeling financial data
• Parameter Estimation for Symmetric Stable Distribution
• Stable GARCH models for financial time series
• A tail estimator for the index of the stable paretian distribution^∗
• Tail estimation of the stable index \(\alpha\)
• A testable version of the Pareto-Stable CAPM
• Unconditional and conditional distributional models for the Nikkei index

Cited In (12)

• Regulation Risk
• The axiomatic basis of risk-value models
• Title not available (Why is that?)
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
• The impact of fat tails on equilibrium rates of return and term premia
• Title not available (Why is that?)
• Title not available (Why is that?)
• A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
• A comparison of several time-series models for assessing the value at risk of shares
• Stable modeling in energy risk management
• Value at risk: Recent advances
• Indirect estimation of \(\alpha \)-stable stochastic volatility models

Uses Software

• RiskMetrics

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