Quantiles Ratio Risk Measure for Stable Distributions Models in Finance

• Autorzy: Grażyna Trzpiot , Dominik Krężołek
• Języki publikacji: EN

Abstrakty

EN

This article presents some quantile risk ratio measures based on unclassical VaR approach (expected and median shortfall). The stable distributed log-returns of Polish indexes WIG and WIG20 are used. The results shows clear lead of stable distribution over the normal one (especially in rerms of VaR calculation).(original abstract)

Słowa kluczowe

EN

Risk measures; Statistics

PL

Pomiar ryzyka; Statystyka

• Czasopismo: Studia Ekonomiczne / Akademia Ekonomiczna w Katowicach
• Rocznik: 2009
• Numer: nr 53 Metody wnioskowania statystycznego w badaniach ekonomicznych
• Strony: 109--120

Twórcy

autor

Grażyna Trzpiot

• The Karol Adamiecki University of Economics in Katowice, Poland

autor

Dominik Krężołek

• The Karol Adamiecki University of Economics in Katowice, Poland

Bibliografia

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