The Mixed Tempered Stable distribution (MixedTS) recently introduced has as special cases parametric distributions used in asset return modelling such as the Variance Gamma (VG) and Tempered Stable. In this paper, we start from this flexible distribution and compare the historical estimates for the two homogeneous risk measures with the quantities obtained using direct numerical integration and the saddle-point approximation. The homogeneity property enables us to go further and look for the most important sources of risk. Although risk decomposition in a parametric context is not straightforward, modified versions of VaR and ES based on asymptotic expansions simplify the problem

Risk measurement using the mixed tempered stable distribution

Rroji, E.
2014-01-01

Abstract

The Mixed Tempered Stable distribution (MixedTS) recently introduced has as special cases parametric distributions used in asset return modelling such as the Variance Gamma (VG) and Tempered Stable. In this paper, we start from this flexible distribution and compare the historical estimates for the two homogeneous risk measures with the quantities obtained using direct numerical integration and the saddle-point approximation. The homogeneity property enables us to go further and look for the most important sources of risk. Although risk decomposition in a parametric context is not straightforward, modified versions of VaR and ES based on asymptotic expansions simplify the problem
Mathematical and Statistical Methods for Actuarial Sciences and Finance
978-331905014-0
Homogeneity; MixedTS; Risk decomposition; Economics; Econometrics and Finance (all)2001 Economics; Econometrics and Finance (miscellaneous); Business; Management and Accounting (all)
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11311/1068232
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