Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution
American Journal of Theoretical and Applied Statistics
Volume 4, Issue 4, July 2015, Pages: 264-268
Received: Mar. 30, 2015; Accepted: Apr. 16, 2015; Published: Jun. 8, 2015
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Authors
Hong Zhang, School of Information, Beijing Wuzi University, Beijing, China
Li Zhou, School of Information, Beijing Wuzi University, Beijing, China
Jie Zhu, School of Information, Beijing Wuzi University, Beijing, China
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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).
Keywords
Asymmetric Laplace, AL-VaR, Financial Market Risk
To cite this article
Hong Zhang, Li Zhou, Jie Zhu, Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution, American Journal of Theoretical and Applied Statistics. Vol. 4, No. 4, 2015, pp. 264-268. doi: 10.11648/j.ajtas.20150404.16
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