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On risk measuring in the variance-gamma model

Ivanov Roman V. ()
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Ivanov Roman V.: Laboratory of Control under Incomplete Information, Trapeznikov Institute of Control Sciences of RAS, Moscow, Russia

Statistics & Risk Modeling, 2018, vol. 35, issue 1-2, 23-33

Abstract: In this paper, we discuss the problem of calculating the primary risk measures in the variance-gamma model. A portfolio of investments in a one-period setting is considered. It is supposed that the investment returns are dependent on each other. In terms of the variance-gamma model, we assume that there are relations in both groups of the normal random variables and the gamma stochastic volatilities. The value at risk, the expected shortfall and the entropic monetary risk measures are discussed. The obtained analytical expressions are based on values of hypergeometric functions.

Keywords: Monetary risk measure; variance-gamma distribution; dependence; analytical formula; hypergeometric function; 60G51; 60J75; 6008; 33C20; 90B50 (search for similar items in EconPapers)
Date: 2018
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