Value at Risk with tempered multistable motions

Abstract : This is an empirical work showing numerically the importance of taking into account non-stationarities in CGMY and similar models for computing VaRs. More precisely we model S&P 500 logs with a CGMY model, but where the parameters are allowed to vary. We show that C, G, M and Y in- deed display significant variations across time. Most relevant is the variation of Y , which implies that the correct modelling frame is the one of tempered multistable motions, a recently introduced class of stochastic processes. We provide experimental evidence that these variations have a notable impact on VaR estimation, and thus should be taken into account for proper risk evaluation.
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Communication dans un congrès
30th International French Finance Association Conference, May 2013, Lyon, France. 2013
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https://hal.inria.fr/hal-00868634
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  • HAL Id : hal-00868634, version 1

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Hicham El Mekeddem, Jacques Lévy Véhel. Value at Risk with tempered multistable motions. 30th International French Finance Association Conference, May 2013, Lyon, France. 2013. 〈hal-00868634〉

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