Calacualting Value at Risk and Expected Shortfall of Some Statistical Distributions

Roozegar, Rasool; Soufi, Bahaeddin; Taherizadeh, Hamid Reza

doi:10.22105/dmor.2018.64783

Document Type : Original Article

Authors

¹ Department of Statistics, Yazd University, Yazd, Iran

² Department of Mathematics, Yazd University, Yazd, Iran

³ Department of Statistics, Yazd University, Yazd, Iran.

https://doi.org/10.22105/dmor.2018.64783

Abstract

Value at risk and expected shortfall are the two most popular measures for calculating financial risk.
To calculate these measures (Value at risk and expected shortfall) there are many approaches, which can be divided into two main categories; parametric and non-parametric. In parametric approach it is supposed that the distribution of asset return belongs to a specific class of distributions. For some distributions we can claculate easily the mentioned measures. In this paper the the relation of epected shortfall has been proved for four symetric distribution.

Keywords

Main Subjects

Risk analysis

References

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Journal of Decisions and Operations Research

Calacualting Value at Risk and Expected Shortfall of Some Statistical Distributions

References

References

Volume 3, Issue 1
June 2018
Pages 72-81

Calacualting Value at Risk and Expected Shortfall of Some Statistical Distributions

References

References

Volume 3, Issue 1June 2018Pages 72-81

Volume 3, Issue 1
June 2018
Pages 72-81