Value at Risk: Recent Advances
نویسندگان
چکیده
The Value-at-Risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional approaches to VAR computations the variance-covariance method, historical simulation, Monte Carlo simulation, and stress-testing do not provide satisfactory evaluation of possible losses. In this paper we review the recent advances in the VAR methodologies. The proposed improvements still lack a convincing uni ed technique capturing the observed phenomena in nancial data such as heavy-tails, time-varying volatility, and shortand long-range dependence. We suggest to use stable Paretian distributions in VAR modeling.
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