Stable modeling of value at risk

I. Khindanova, S. Rachev, E. Schwartz

Research output: Contribution to journalArticlepeer-review

30 Scopus citations


The value-at-risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional approaches to VAR computations - the variance-covariance method, historical simulation, Monte Carlo simulation, and stress-testing - do not provide satisfactory evaluation of possible losses. In this paper, we analyze the use of stable Paretian distributions in VAR modeling.

Original languageEnglish
Pages (from-to)1223-1259
Number of pages37
JournalMathematical and Computer Modelling
Issue number9-11
StatePublished - Sep 24 2001


  • Market risks
  • Stable Paretian distributions
  • VAR computations
  • Value-at-risk


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