Add to ORKGThis thesis explain about risk use Value at Risk and Expected Tail Loss estimation with Generalized Asymmetric Student-t Distribution for single asset return. Generalized Asymmetric Student-t Distribution is generalization of student-t distribution and skew student-t distribution. This distribution have characteristic heavy tailed and asymmetric. So,Value at Risk and Expected Tail Loss with Generalized Asymmetric Student-t Distribution give a good risk estimation
December 19, 2009Bayesian analysis of a stochastic volatility model with a generalized hyperbolic (G...
In the thesis we investigate the asymptotic properties of both tail probability ant tail expectation...
We apply seven alternative t-distributions to estimate the market risk measures Value at Risk (VaR) ...
Financial returns typically display heavy tails and some skewness, and conditional variance models w...
Le présent document propose une nouvelle catégorie de distributions asymétriques suivant la loi t de...
VaR is a risk measurement method that statistically estimate the maximum loss that may occur on an a...
De façon générale, les rendements financiers sont caractérisés par des queues épaisses et une certai...
In the thesis we investigate the asymptotic properties of both tail probability ant tail expectation...
In this thesis explain a method for estimating Value at Risk (VaR) and Expected Shortfall of heteros...
Many financial time-series show leptokurtic behavior, i.e., fat tails. Such tail behavior is importa...
Since Value-at-Risk (VaR) disregards tail losses beyond the VaR boundary, the expected shortfall (ES...
We propose a new type of risk measure for non-negative random variables that focuses on the tail of ...
Quantitative risk measurement can be calculated using Value at Risk (VaR) method. Usually, we use Va...
In this paper, an alternative skew Student-t family of distributions is studied. It is obtained as a...
There is a growing interest in the use of the tail conditional expectation as a measure of risk. For...
December 19, 2009Bayesian analysis of a stochastic volatility model with a generalized hyperbolic (G...
In the thesis we investigate the asymptotic properties of both tail probability ant tail expectation...
We apply seven alternative t-distributions to estimate the market risk measures Value at Risk (VaR) ...
Financial returns typically display heavy tails and some skewness, and conditional variance models w...
Le présent document propose une nouvelle catégorie de distributions asymétriques suivant la loi t de...
VaR is a risk measurement method that statistically estimate the maximum loss that may occur on an a...
De façon générale, les rendements financiers sont caractérisés par des queues épaisses et une certai...
In the thesis we investigate the asymptotic properties of both tail probability ant tail expectation...
In this thesis explain a method for estimating Value at Risk (VaR) and Expected Shortfall of heteros...
Many financial time-series show leptokurtic behavior, i.e., fat tails. Such tail behavior is importa...
Since Value-at-Risk (VaR) disregards tail losses beyond the VaR boundary, the expected shortfall (ES...
We propose a new type of risk measure for non-negative random variables that focuses on the tail of ...
Quantitative risk measurement can be calculated using Value at Risk (VaR) method. Usually, we use Va...
In this paper, an alternative skew Student-t family of distributions is studied. It is obtained as a...
There is a growing interest in the use of the tail conditional expectation as a measure of risk. For...
December 19, 2009Bayesian analysis of a stochastic volatility model with a generalized hyperbolic (G...
In the thesis we investigate the asymptotic properties of both tail probability ant tail expectation...
We apply seven alternative t-distributions to estimate the market risk measures Value at Risk (VaR) ...