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).
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: American Journal of Theoretical and Applied Statistics
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
