Risk Modeling by Coherent Measure Using Family of Generalized Hyperbolic Distributions

Prabir Kumar Das ()
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Prabir Kumar Das: Indian Institute of Foreign Trade

Chapter Chapter 11 in Trade, Investment and Economic Growth, 2021, pp 169-176 from Springer

Abstract: Abstract We have identified the appropriate probability distribution for describing the return of BSE Sensex to be the generalized hyperbolic family of distributions. The generalized hyperbolic family of distributions was found adequate for describing the probability density based on AIC and likelihood function, which was analytically confirmed by the likelihood ratio test. The generalized hyperbolic distribution coupled with coherent risk measure (expected shortfall) was found appropriate for measuring the trajectories of risk for the confidence level ranging from 95 to 99.9%. It was empirically verified using the return series of BSE Sensex for the period 2013–18.

Keywords: Market risk; Value at risk; Expected shortfall; Generalized hyperbolic distribution; Coherent risk (search for similar items in EconPapers)
JEL-codes: C13 C19 G11 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-33-6973-3_11

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DOI: 10.1007/978-981-33-6973-3_11

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