Next:
1. Computationally Intensive Value
Up:
csahtml
Previous:
References
IV. Selected Applications
Subsections
1. Computationally Intensive Value at Risk Calculations
1.1 Introduction
1.2 Stable Distributions
1.2.1 Characteristic Function Representation
1.2.2 Computation of Stable Density and Distribution Functions
1.2.3 Simulation of
-stable Variables
1.2.4 Estimation of Parameters
1.2.5 Are Asset Returns
-stable?
1.2.6 Truncated Stable Distributions
1.3 Hyperbolic Distributions
1.3.1 Simulation of Generalized Hyperbolic Variables
1.3.2 Estimation of Parameters
1.3.3 Are Asset Returns NIG Distributed?
1.4 Value at Risk, Portfolios and Heavy Tails
-stable Variables