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  5. Value-at-Risk(VaR)under Variance Gamma(VG)Process

Value-at-Risk(VaR)under Variance Gamma(VG)Process

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：lijia6685621
【摘 要】
：
VaR is used as a standard tool to measure the potential loss in value of risky asset or portfolio.Calculation of VaR is commonly based on the assumption that the log return of asset or portfolio is no
【作 者】
：
Permana Ferry Jaya Lesmono Dharma Chendra Erwinna 
【机 构】
：
Universitas Katolik Parahyangan Parahyangan Catho
【出 处】
：
第八届工业与应用数学国际大会
【发表日期】
：
2015年5期
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　　VaR is used as a standard tool to measure the potential loss in value of risky asset or portfolio.Calculation of VaR is commonly based on the assumption that the log return of asset or portfolio is normally distributed.In this paper we calculate the VaR by assuming the log return of asset or portfolio follows the VG process.
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