44177

Автор(ы): 

Автор(ов): 

1

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

On risk measuring in the variance-gamma model

Наименование источника: 

  • Statistics and Risk Modeling

Обозначение и номер тома: 

Т. 35, № 1-2

Город: 

  • Berlin

Издательство: 

  • Walter de Gruyter GmbH

Год издания: 

2018

Страницы: 

23-34
Аннотация
In this paper, we discuss the problem of calculating the primary risk measures in the variance-gamma model. A portfolio of investments in a one-period setting is considered. It is supposed that the investment returns are dependent on each other. In terms of the variance-gamma model, we assume that there are relations in both groups of the normal random variables and the gamma stochastic volatilities. The value at risk, the expected shortfall and the entropic monetary risk measures are discussed. The obtained analytical expressions are based on values of hypergeometric functions.

Библиографическая ссылка: 

Иванов Р.В. On risk measuring in the variance-gamma model // Statistics and Risk Modeling. 2018. Т. 35, № 1-2. С. 23-34.