Computing VAR and AVaR in Infinitely Divisible Distributions

Young Kim, Svetlozar Rachev, Michele Bianchi and Frank Fabozzi

Yale School of Management Working Papers from Yale School of Management

Abstract: In this paper we derive closed-form solutions for the cumulative density function and the average value-at-risk for five subclasses of the infinitely divisible distributions: classical tempered stable distribution, Kim-Rachev distribution, modified tempered stable distribution, normal tempered stable distribution, and rapidly decreasing tempered stable distribution. We present empirical evidence using the daily performance of the S&P 500 for the period January 2, 1997 through December 29, 2006.

Keywords: tempered stable distribution; infinitely divisible distribution; value-at-risk; conditional value-at-risk; average value-at-risk (search for similar items in EconPapers)
Date: 2009-05-01
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ysm:wpaper:amz2569

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