In this paper, According to the returns distributions (of the financial assets returns series) with peak fat-tailed and asymmetric and the theory of Asymmetric Laplace distribution.AL-VaR (AL-CVaR) parametric method and Monte Carlo simulation are proposed which are based on Asymmetric Laplace distribution. We analyze the VaR (CVaR) measuring model of AL distribution and discuss its backtesting. And then we evaluate the pros and cons of each method combining with the characteristics of the stock market risk of three countries. (America、 China and Japan).
| Published in | American Journal of Theoretical and Applied Statistics (Volume 4, Issue 4) |
| DOI | 10.11648/j.ajtas.20150404.16 |
| Page(s) | 264-268 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2015. Published by Science Publishing Group |
Asymmetric Laplace, AL-VaR, Financial Market Risk
| [1] | Black F. The Dividend Puzzle [J]. Journal of Portfolio Management, 1976, 2 (2) 6-7. |
| [2] | Black F., Scholes M. The pricing of options and corporate liabilities [J]. Journal of Political Economy, 1973, 81 (3): 639-657. |
| [3] | Bollerslev T. Generalized autoregressive conditional heteroskedasticity [J]. Journal of Econometrics, 1986, 31: 317-324. |
| [4] | Bollerslev T. Generalized autoregressive conditional heteroskedasticity [J]. Journal of Econometrics, 1986, 31 (3): 309-317. |
| [5] | Bollerslev T. Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Mode [J]. Review of Economics and Statistics, 1990, 72: 499-503. |
| [6] | Bollerslev T., Engle R.F., Wooldridge M.J. A capital Asset Pricing Model with time-varying covariances [J]. Journal of Political Economy, 1988, 96: 119-130. |
| [7] | Engle R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation [J]. Econometric, 1982, 50 (4): 989-1004. |
| [8] | Engle R.F., Kroner F.K. Multivariate Simultaneous Generalized ARCH [J].Econometric Theory, 1995, 11: 135-149. |
| [9] | Engle R.F., Lilien D.M., Robins R.P. Estimating time-varying risk Premia in the term structure: The ARCH-M model [J]. Econometrica, 1987, 55: 395-406. |
| [10] | Engle Robert F. Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models [J]. Journal of Business and Economic Statistics, 2002, 20 (3):341-347. |
| [11] | Glosten L. R., Jagannathan R. and Runkle D. E. On the relation between expected value and the volatility of the nominal excess return on stocks [J]. The Journal of Finance, 1993, 48 (5): 1779-1801. |
| [12] | Nelsen R.B. An introduction to Copulas [M]. New York: Springer-Verlag, 1999. |
| [13] | Nelson B. Conditional heteroscedasticity in asset returns: a new approach [J].Econometrica, 1991, 59: 349-360. |
| [14] | Nelson D.B. ARCH models as diffusion approximations [J]. Journal ofEconometrics, 1990, 45: 9-28. |
| [15] | Zakoian J.M. Threshold heteroskedastic models [J]. Journal of Economic Dynamics and Control, 1990, 18: 937-945. |
APA Style
Hong Zhang, Li Zhou, Jie Zhu. (2015). Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution. American Journal of Theoretical and Applied Statistics, 4(4), 264-268. https://doi.org/10.11648/j.ajtas.20150404.16
ACS Style
Hong Zhang; Li Zhou; Jie Zhu. Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution. Am. J. Theor. Appl. Stat. 2015, 4(4), 264-268. doi: 10.11648/j.ajtas.20150404.16
AMA Style
Hong Zhang, Li Zhou, Jie Zhu. Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution. Am J Theor Appl Stat. 2015;4(4):264-268. doi: 10.11648/j.ajtas.20150404.16
Share This Article
Twitter
Linked In
Facebook
Copy
Download@article{10.11648/j.ajtas.20150404.16,
author = {Hong Zhang and Li Zhou and Jie Zhu},
title = {Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution},
journal = {American Journal of Theoretical and Applied Statistics},
volume = {4},
number = {4},
pages = {264-268},
doi = {10.11648/j.ajtas.20150404.16},
url = {https://doi.org/10.11648/j.ajtas.20150404.16},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtas.20150404.16},
abstract = {In this paper, According to the returns distributions (of the financial assets returns series) with peak fat-tailed and asymmetric and the theory of Asymmetric Laplace distribution.AL-VaR (AL-CVaR) parametric method and Monte Carlo simulation are proposed which are based on Asymmetric Laplace distribution. We analyze the VaR (CVaR) measuring model of AL distribution and discuss its backtesting. And then we evaluate the pros and cons of each method combining with the characteristics of the stock market risk of three countries. (America、 China and Japan).},
year = {2015}
}
TY - JOUR T1 - Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution AU - Hong Zhang AU - Li Zhou AU - Jie Zhu Y1 - 2015/06/08 PY - 2015 N1 - https://doi.org/10.11648/j.ajtas.20150404.16 DO - 10.11648/j.ajtas.20150404.16 T2 - American Journal of Theoretical and Applied Statistics JF - American Journal of Theoretical and Applied Statistics JO - American Journal of Theoretical and Applied Statistics SP - 264 EP - 268 PB - Science Publishing Group SN - 2326-9006 UR - https://doi.org/10.11648/j.ajtas.20150404.16 AB - In this paper, According to the returns distributions (of the financial assets returns series) with peak fat-tailed and asymmetric and the theory of Asymmetric Laplace distribution.AL-VaR (AL-CVaR) parametric method and Monte Carlo simulation are proposed which are based on Asymmetric Laplace distribution. We analyze the VaR (CVaR) measuring model of AL distribution and discuss its backtesting. And then we evaluate the pros and cons of each method combining with the characteristics of the stock market risk of three countries. (America、 China and Japan). VL - 4 IS - 4 ER -
Email: