Value at risk using hyperbolic distributions

Titelangaben

Bauer, Christian:
Value at risk using hyperbolic distributions.
In: Journal of Economics and Business. Bd. 52 (2000) Heft 5 . - S. 455-467.
ISSN 0148-6195
DOI: https://doi.org/10.1016/S0148-6195(00)00026-6

Weitere URLs

Abstract

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 RiskMetrics™.