Calacualting Value at Risk and Expected Shortfall of Some Statistical Distributions

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ROOZEGAR RASOOL; Soufi Bahaeddin; Taherizadeh Hamid Reza

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Journal: DECISIONS AND OPERATIONS RESEARCH Year:2018 | Volume:3 | Issue:1 Page(s): 72-81

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Information Journal Paper

Title

Calacualting Value at Risk and Expected Shortfall of Some Statistical Distributions

Author(s)

ROOZEGAR RASOOL | Soufi Bahaeddin | Taherizadeh Hamid Reza | Issue Writer Certificate

Keywords

value at risk

Expected Shortfall

Parametric method

Abstract

value at risk and Expected Shortfall are the two most popular measures for calculating financial risk. To calculate these measures (value at risk and Expected Shortfall) there are many approaches, which can be divided into two main categories; parametric and non-parametric. In parametric approach it is supposed that the distribution of asset return belongs to a specific class of distributions. For some distributions we can claculate easily the mentioned measures. In this paper the the relation of epected shortfall has been proved for four symetric distribution.

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APA: Copy

ROOZEGAR, RASOOL, Soufi, Bahaeddin, & Taherizadeh, Hamid Reza. (2018). Calacualting Value at Risk and Expected Shortfall of Some Statistical Distributions. DECISIONS AND OPERATIONS RESEARCH, 3(1 ), 72-81. SID. https://sid.ir/paper/268883/en

Vancouver: Copy

ROOZEGAR RASOOL, Soufi Bahaeddin, Taherizadeh Hamid Reza. Calacualting Value at Risk and Expected Shortfall of Some Statistical Distributions. DECISIONS AND OPERATIONS RESEARCH[Internet]. 2018;3(1 ):72-81. Available from: https://sid.ir/paper/268883/en

IEEE: Copy

RASOOL ROOZEGAR, Bahaeddin Soufi, and Hamid Reza Taherizadeh, “Calacualting Value at Risk and Expected Shortfall of Some Statistical Distributions,” DECISIONS AND OPERATIONS RESEARCH, vol. 3, no. 1 , pp. 72–81, 2018, [Online]. Available: https://sid.ir/paper/268883/en

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