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  • 1
    Online Resource
    Online Resource
    Nonparametric Risk Management with Generalized Hyperbolic Distributions (2004)
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    Details
    UID:
    edochu_18452_4519
    Format: 1 Online-Ressource (33 Seiten)
    ISSN: 1860-5664
    Series Statement: 2005,1
    Content: In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more appropriately. The nonparametric adaptive methodology has the desirable property of estimating homogeneous volatility in a short time interval. For DEM/USD exchange rate data and a German bank portfolio data the proposed GHADA model provides more accurate value at risk calculation than the traditional model based on the normal distribution. All calculations and simulations are done with XploRe.
    Language: English
    DOI: 10.18452/3867
    URN: urn:nbn:de:kobv:11-10044889
    URL: Volltext  (kostenfrei)
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