文献知网节
  • 记笔记

Value-at-Risk(VaR) Under Variance Gamma Process

Ferry Jaya Permana

Parahyangan Catholic University

摘要:VaR is used as a standard tool to measure the potential loss in value of risky asset or portfolio. Calculation of VaR is commonly based on the assumption that the log return of asset or portfolio is normally dis-tributed. In this paper we calculate the VaR by assuming the log return of asset or portfolio follows the VG process. The goal of our work it to apply a bivariate VG process via copulas technique by using property proposed by Luciano and Schoutensthat the VG process conditioning on a realization of the stochastic Gamma time change is lognormally distributed. By applying that property we calculate the VaR of a portfolio of several assets under the assumption that the log returmof each asset in a portfolio follows the VG process.
会议名称:

World Congress on Engineering and Technology(CET 2015)

会议时间:

2015-10-23

会议地点:

中国江苏苏州

  • 专辑:

    经济与管理科学

  • 专题:

    宏观经济管理与可持续发展; 金融; 投资

  • 分类号:

    F830.59;F224

  • 手机阅读
    即刻使用手机阅读
    第一步

    扫描二维码下载

    "移动知网-全球学术快报"客户端

    第二步

    打开“全球学术快报”

    点击首页左上角的扫描图标

    第三步

    扫描二维码

    手机同步阅读本篇文献

  • CAJ下载
  • PDF下载

下载手机APP用APP扫此码同步阅读该篇文章

下载:6 页码:383 页数:1 大小:84k

相关推荐
  • 相似文献
  • 读者推荐
  • 相关基金文献
  • 关联作者
  • 相关视频