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Computing VAR and AVaR in Infinitely Divisible Distributions · Study

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PreprintComputing VAR and AVaR in Infinitely Divisible Distributions

Young Shin Kim2009

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Preprintgreen2009

Computing VAR and AVaR in Infinitely Divisible Distributions

Young Shin Kim · Svetlozar T. Rachev · Michele Leonardo Bianchi · Frank J. Fabozzi

68 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Probability and Risk Models

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References

2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 2002The Fine Structure of Asset Returns: An Empirical Investigation 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk 2000Stable Paretian Models in Finance 2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES 2007Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis 2008Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures

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2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model 2011Subordinated α -stable Ornstein–Uhlenbeck process as a tool for financial data description 2012Stable mixture GARCH models 2023From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures

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Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations68

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1400965

openalex_workW1562804114

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