On risk measuring in the variance-gamma model
Ivanov Roman V. ()
Additional contact information
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
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)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://www.degruyter.com/view/j/strm.2018.35.issu ... -0008.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:23-33:n:2
Ordering information: This journal article can be ordered from
Access Statistics for this article
Statistics & Risk Modeling is currently edited by Robert Stelzer
More articles in Statistics & Risk Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla ().