Stable modeling of value at risk

DOI10.1016/S0895-7177(01)00129-7MaRDI QIDQ1600544zbMATH OpenOpenAlexFDO

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

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)

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Cited in

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• A matrix-based VaR model for risk identification in power supply networks
• Statistical methodologies for the market risk measurement
• The stress-dependent random walk
• A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
• Multivariate heavy-tailed models for value-at-risk estimation
• The impact of fat tails on equilibrium rates of return and term premia
• Regulation risk
• Empirical Issues in Value-at-Risk
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• The axiomatic basis of risk-value models
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• A comparison of several time-series models for assessing the value at risk of shares
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Uses Software

• RiskMetrics

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