The Saddlepoint Formula of CVaR and Its Application in Generalized Hyperbolic Distribution

摘要：

CVaR is a coherent risk measure which measures the conditional mean beyond VaR, and Generalized Hyperbolic Distribution(g.h.d) is an excellent fitness for asset return rate. Both of them have wide applications in risk management. But it is hard to obtain the explicit expression for c.d.f. of ghd.because of its complication of probability density function. This paper derives the CVaRs saddlepoint formula for Generalized Hyperbolic Distribution referred to Lin & Zhang (2008). Precision test for Normal Inverse Gaussian distribution show that the saddlepoint formula of CVaR can exactly and stably approximate the simulation result.

关键词： Saddlepoint Approximation Generalized Hyperbolic Distribution Coherent Risk Measure CVaR

作者: Zhang Jian-Long

作者单位: Postdoctoral in Institute of Economic Research of Peking University GuangHua TianCheng Postdoctoral Programme

会议类型: 国际会议

会议名称: The Third International Conference on Modelling and Simulation(第三届国际建模、计算、仿真、优化及其应用学术会议 ICMS 2010)

会议地点: 无锡

会议语种:英文

页码: 75-78

在线出版日期: 2010-06-04（万方平台首次上网日期，不代表论文的发表时间）