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Derivation of non-Gaussian closed-form solutions for the most important risk measures, under the assumption of a Student-t distribution for financial returns. Comparison with the typical techniques used in quantitative finance.

A non-Gaussian approach to risk measures

BORMETTI, GIACOMO;CISANA, ENRICA VERA;MONTAGNA, GUIDO;
2007-01-01

Abstract

Derivation of non-Gaussian closed-form solutions for the most important risk measures, under the assumption of a Student-t distribution for financial returns. Comparison with the typical techniques used in quantitative finance.
2007
The Physics category includes resources of a broad, general nature that contain materials from all areas of physics, The category also includes resources specifically concerned with the following physics sub-fields: mathematical physics, particle and nuclear physics, physics of fluids and plasmas, quantum physics, and theoretical physics.
PHYSICA. A
sì
WOS:000244398100050
Sì, ma tipo non specificato
Inglese
Internazionale
STAMPA
376
532
542
11
Tematica Ex SIR: Fisica teorica delle particelle elementari e dei sistemi complessi (Classif. Ex SIR:Articoli su riviste ISI )
Financial returns; heavy tails; Value-at-Risk; Expected Shortfall
http://www.sciencedirect.com/science/article/pii/S0378437106010521
4
info:eu-repo/semantics/article
262
Bormetti, Giacomo; Cisana, ENRICA VERA; Montagna, Guido; Nicrosini, Oreste
1 Contributo su Rivista::1.1 Articolo in rivista
none
1.1 Articolo in rivista
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11571/33651
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