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How Computational Statistics Became the Backbone of Modern Data Science Read chapter Read first chapter

2012 | OriginalPaper | Chapter

34. Heavy-Tailed Distributions in VaR Calculations

Authors : Adam Misiorek, Rafał Weron

Published in: Handbook of Computational Statistics

Publisher: Springer Berlin Heidelberg

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Abstract

Market risks are the prospect of financial losses – or gains – due to unexpected changes in market prices and rates. Evaluating the exposure to such risks is nowadays of primary concern to risk managers in financial and non-financial institutions alike. Since the early 1990s a commonly used market risk estimation methodology has been the Value at Risk (VaR).

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Metadata
Title
Heavy-Tailed Distributions in VaR Calculations
Authors
Adam Misiorek
Rafał Weron
Copyright Year
2012
Publisher
Springer Berlin Heidelberg
Book
Handbook of Computational Statistics

Print ISBN: 978-3-642-21550-6

Electronic ISBN: 978-3-642-21551-3

Copyright Year: 2012

DOI
https://doi.org/10.1007/978-3-642-21551-3_34

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