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Value at Risk Using Hyperbolic Distributions
Company: Journal of Economics and Business
Company Url: Click here to open
Year Of Publication: 2000
Month Of Publication: September
Pages: 455-467
Download Count: 1176
View Count: 8659
Comment Num: 0
Language: EN
Source: article
Who Can Read: Free
Date: 9-2-2002
Publisher: Administrator
Summary
This article deals with the Value at Risk concept as it is used in practice. We show that,like the Gaussian distribution, elliptical distributions lend themselves to simple practicalcomputations. All necessary computations are detailed for the symmetric hyperbolicdistributions. A test on real stock market and exchange rate data shows the new distributionsfit the data better and outperform equivalent estimators used in RiskMetrics.
(volume 52, number 5)
Author(s)
Bauer, Christian Sign in to follow this author
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