An approach to VaR for capital markets with Gaussian mixture
نویسندگان
چکیده
An approach to VaR (value-at-risk) for capital markets is proposed with Gaussian mixture. Considering the impacts of the components in a Gaussian mixture, an approach to VaR for capital markets is proposed to describe risk structure in capital markets. This approach can be programmed in parallel. Empirical computation of VaR for China securities markets and the Forex markets are provided to demonstrate the proposed method. 2004 Published by Elsevier Inc.
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ورودعنوان ژورنال:
- Applied Mathematics and Computation
دوره 168 شماره
صفحات -
تاریخ انتشار 2005