Computing VAR and AVaR in Infinitely Divisible Distributions
AbstractIn this paper we derive closed-form solutions for the cumulative density function and the average value-at-risk for five subclasses of the infinitely divisible distributions: classical tempered stable distribution, Kim-Rachev distribution, modified tempered stable distribution, normal tempered stable distribution, and rapidly decreasing tempered stable distribution. We present empirical evidence using the daily performance of the S&P 500 for the period January 2, 1997 through December 29, 2006.
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number amz2569.
Date of creation: 01 May 2009
Date of revision:
tempered stable distribution; infinitely divisible distribution; value-at-risk; conditional value-at-risk; average value-at-risk;
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