| Article ID: | iaor2004554 |
| Country: | Netherlands |
| Volume: | 34 |
| Issue: | 9/11 |
| Start Page Number: | 1223 |
| End Page Number: | 1259 |
| Publication Date: | Nov 2001 |
| Journal: | Mathematical and Computer Modelling |
| Authors: | Rachev S.T., Schwartz E., Khindanova I. |
| Keywords: | risk |
The value-at-risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional approaches to VAR computations – the variance–covariance method, historical simulation, Monte Carlo simulation, and stress-testing – do not provide satisfactory evaluation of possible losses. In this paper, we analyze the use of stable Paretian distributions in VAR modelling.