VaR Methodology for Non-Gaussian Finance

Marine Corlosquet-Habart, Jacques Janssen and Raimondo Manca
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Marine Corlosquet-Habart: Lab-STICC_TB_CID_DECIDE - Lab-STICC - Laboratoire des sciences et techniques de l'information, de la communication et de la connaissance - UEB - Université européenne de Bretagne - European University of Brittany - ENIB - École Nationale d'Ingénieurs de Brest - UBS - Université de Bretagne Sud - UBO - Université de Brest - Télécom Bretagne - IBNM - Institut Brestois du Numérique et des Mathématiques - UBO - Université de Brest - ENSTA Bretagne - École Nationale Supérieure de Techniques Avancées Bretagne - IMT - Institut Mines-Télécom [Paris] - CNRS - Centre National de la Recherche Scientifique, GEOARCHI - Institut de Géoarchitecture - UBS - Université de Bretagne Sud - UBO - Université de Brest - IBSHS - Institut Brestois des Sciences de l'Homme et de la Société - UBO - Université de Brest
Jacques Janssen: ULB - Université libre de Bruxelles
Raimondo Manca: UNIROMA - Università degli Studi di Roma "La Sapienza" = Sapienza University [Rome]

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Abstract: With the impact of the recent financial crises, more attention must be given to new models in finance rejecting "Black-Scholes-Samuelson" assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) - one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models.

Keywords: Value at risk; Copule; Solvency II (search for similar items in EconPapers)
Date: 2013
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Published in Wiley-ISTE, pp.176, 2013, Finance, Business & Management, 978-1-84821-464-4

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01196459

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