Value at Risk Using Hyperbolic Distributions
نویسنده
چکیده
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 practical computations. All necessary computations are detailed for the symmetric hyperbolic distributions. A test on real stock market and exchange rate data shows the new distributions fit the data better and outperform equivalent estimators used in RiskMetricsTM. © 2000 Elsevier Science Inc.
منابع مشابه
Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange
This paper aims to estimate the Value-at-Risk (VaR) using GARCH type models with improved return distribution. Value at Risk (VaR) is an essential benchmark for measuring the risk of financial markets quantitatively. The parametric method, historical simulation, and Monte Carlo simulation have been proposed in several financial mathematics and engineering studies to calculate VaR, that each of ...
متن کاملGeneralized Hyperbolic Distributions and Brazilian Data
The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use these distributions in value at risk estimation and derivative price computation.
متن کاملRobust Portfolio Optimization with risk measure CVAR under MGH distribution in DEA models
Financial returns exhibit stylized facts such as leptokurtosis, skewness and heavy-tailness. Regarding this behavior, in this paper, we apply multivariate generalized hyperbolic (mGH) distribution for portfolio modeling and performance evaluation, using conditional value at risk (CVaR) as a risk measure and allocating best weights for portfolio selection. Moreover, a robust portfolio optimizati...
متن کاملRisk Managementwith Generalized Hyperbolic Distributions
We examine certain Generalized Hyperbolic (GH) distributions for modeling equity returns, compared to usual Normal distributions. We describe these GH distributions and some of their properties, and test them against six years of daily S&P500 index prices. We estimate Value-at-Risk from calibrated distributions, and show that the Normal distribution leads to V aR estimates that significantly un...
متن کاملRating the Actual Customers of Banks based on Credit Risk using Multiple Criteria Decision Making and Artificial Intelligence Hyperbolic Regression
This study wants to investigate the rating of the actual customers of banks based on credit risk using multiple criteria decision making and artificial intelligence hyperbolic regression. This is an applied research. The statistical population of the study includes the credit customers of Agriculture Bank in west branches of Mazandaran province, Iran in 2012-2016. A total of 100 cases have been...
متن کامل