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On risk measuring in the variance-gamma model

Author

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  • Ivanov Roman V.

    (Laboratory of Control under Incomplete Information, Trapeznikov Institute of Control Sciences of RAS, Moscow, Russia)

Abstract

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.

Suggested Citation

  • Ivanov Roman V., 2018. "On risk measuring in the variance-gamma model," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 23-33, January.
    • Handle: RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:23-33:n:2
    DOI: 10.1515/strm-2017-0008
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    References listed on IDEAS

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    Cited by:

    1. Roman V. Ivanov, 2018. "A Credit-Risk Valuation under the Variance-Gamma Asset Return," Risks, MDPI, vol. 6(2), pages 1-25, May.

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