ESTIMATION OF VAR AND CVAR FROM FINANCIAL DATA USING SIMULATED ALPHA-STABLE RANDOM VARIABLES
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F14%3A00437673" target="_blank" >RIV/67985556:_____/14:00437673 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
ESTIMATION OF VAR AND CVAR FROM FINANCIAL DATA USING SIMULATED ALPHA-STABLE RANDOM VARIABLES
Original language description
It is of great importance for those in charge of measuring and managing financial risk to analyse financial data by determining a certain probabilistic model. These data usually possess distribution with tails heavier than those of normal distribution. The class of alpha-stable distributions can be chosen for modelling financial data since this probabilistic model is able to capture asymmetry and heavy tails. In this paper, mixed alpha-stable model is applied for the analysis of return data of Lithuanian pension funds that usually contain a significant number of zero values. The distribution fitting and simulation algorithm are also described. Risk measures VaR (Value-at-Risk) and CVaR (Conditional Value-at-Risk) are chosen to evaluate the characteristics of return data, especially the degree of heavy tails. VaR and CVaR are estimated from return data, then computed from simulated data when using mixed alpha-stable law and finally compared to the measures obtained using alpha-stable mo
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA13-25911S" target="_blank" >GA13-25911S: Arbitrage-free modelling of implied volatility.</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
28th European Simulation and Modelling Conference Proceedings
ISBN
978-90-77381-86-1
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
159-163
Publisher name
ETI - The European Technology Institute
Place of publication
Ostend
Event location
FEUP - University of Porto
Event date
Oct 22, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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