| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0437673 |
| utime |
20240103205342.6 |
| mtime |
20150106235959.9 |
| SCOPUS |
84922326955 |
| title
(primary) (eng) |
ESTIMATION OF VAR AND CVAR FROM FINANCIAL DATA USING SIMULATED ALPHA-STABLE RANDOM VARIABLES |
| specification |
| page_count |
5 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0437672 |
| ISBN |
978-90-77381-86-1 |
| title
|
28th European Simulation and Modelling Conference Proceedings |
| page_num |
159-163 |
| publisher |
| place |
Ostend |
| name |
ETI - The European Technology Institute |
| year |
2014 |
|
| editor |
|
| editor |
|
| editor |
| name1 |
de Oliveira |
| name2 |
C.B. |
|
|
| keyword |
Stable model |
| keyword |
mixed-stable model |
| keyword |
financial modelling |
| author
(primary) |
| ARLID |
cav_un_auth*0312250 |
| share |
20 |
| name1 |
Sutiene |
| name2 |
K. |
| country |
LT |
|
| author
|
| ARLID |
cav_un_auth*0312251 |
| share |
20 |
| name1 |
Kabasinskas |
| name2 |
A. |
| country |
LT |
|
| author
|
| ARLID |
cav_un_auth*0312252 |
| share |
20 |
| name1 |
Strebeika |
| name2 |
D. |
| country |
LT |
|
| author
|
| ARLID |
cav_un_auth*0254103 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| share |
20 |
| name1 |
Kopa |
| name2 |
Miloš |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0312253 |
| share |
20 |
| name1 |
Reichardt |
| name2 |
R. |
| country |
DE |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0292622 |
| project_id |
GA13-25911S |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
It is of great importance for those in charge of measuring and managing financial risk to analyse financial data by determining a certain probabilistic model. These data usually possess distribution with tails heavier than those of normal distribution. The class of alpha-stable distributions can be chosen for modelling financial data since this probabilistic model is able to capture asymmetry and heavy tails. In this paper, mixed alpha-stable model is applied for the analysis of return data of Lithuanian pension funds that usually contain a significant number of zero values. The distribution fitting and simulation algorithm are also described. Risk measures VaR (Value-at-Risk) and CVaR (Conditional Value-at-Risk) are chosen to evaluate the characteristics of return data, especially the degree of heavy tails. VaR and CVaR are estimated from return data, then computed from simulated data when using mixed alpha-stable law and finally compared to the measures obtained using alpha-stable model and Gaussian model. |
| action |
| ARLID |
cav_un_auth*0311666 |
| name |
28th European Simulation and Modelling Conference |
| dates |
22.10.2014-24.10.2014 |
| place |
FEUP - University of Porto |
| country |
PT |
|
| RIV |
BB |
| reportyear |
2015 |
| num_of_auth |
5 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0241897 |
| cooperation |
| ARLID |
cav_un_auth*0311667 |
| name |
Kaunas University of Technology |
| institution |
KTU |
| country |
LT |
|
| cooperation |
| ARLID |
cav_un_auth*0311668 |
| name |
University of Applied Sciences Düsseldorf |
| institution |
UASD |
| country |
DE |
|
| confidential |
S |
| arlyear |
2014 |
| mrcbU14 |
84922326955 SCOPUS |
| mrcbU63 |
cav_un_epca*0437672 28th European Simulation and Modelling Conference Proceedings 978-90-77381-86-1 159 163 28th European Simulation and Modelling Conference Proceedings Ostend ETI - The European Technology Institute 2014 |
| mrcbU67 |
Brito A.C. 340 |
| mrcbU67 |
Tavares J.M. 340 |
| mrcbU67 |
de Oliveira C.B. 340 |
|