American Journal of Theoretical and Applied Statistics

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Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution

Received: 30 March 2015    Accepted: 16 April 2015    Published: 08 June 2015
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Abstract

In this paper, According to the returns distributions (of the financial assets returns series) with peak fat-tailed and asymmetric and the theory of Asymmetric Laplace distribution.AL-VaR (AL-CVaR) parametric method and Monte Carlo simulation are proposed which are based on Asymmetric Laplace distribution. We analyze the VaR (CVaR) measuring model of AL distribution and discuss its backtesting. And then we evaluate the pros and cons of each method combining with the characteristics of the stock market risk of three countries. (America、 China and Japan).

DOI 10.11648/j.ajtas.20150404.16
Published in American Journal of Theoretical and Applied Statistics (Volume 4, Issue 4, July 2015)
Page(s) 264-268
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Asymmetric Laplace, AL-VaR, Financial Market Risk

References
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Author Information
  • School of Information, Beijing Wuzi University, Beijing, China

  • School of Information, Beijing Wuzi University, Beijing, China

  • School of Information, Beijing Wuzi University, Beijing, China

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    Hong Zhang, Li Zhou, Jie Zhu. (2015). Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution. American Journal of Theoretical and Applied Statistics, 4(4), 264-268. https://doi.org/10.11648/j.ajtas.20150404.16

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    Hong Zhang; Li Zhou; Jie Zhu. Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution. Am. J. Theor. Appl. Stat. 2015, 4(4), 264-268. doi: 10.11648/j.ajtas.20150404.16

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    AMA Style

    Hong Zhang, Li Zhou, Jie Zhu. Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution. Am J Theor Appl Stat. 2015;4(4):264-268. doi: 10.11648/j.ajtas.20150404.16

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  • @article{10.11648/j.ajtas.20150404.16,
      author = {Hong Zhang and Li Zhou and Jie Zhu},
      title = {Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution},
      journal = {American Journal of Theoretical and Applied Statistics},
      volume = {4},
      number = {4},
      pages = {264-268},
      doi = {10.11648/j.ajtas.20150404.16},
      url = {https://doi.org/10.11648/j.ajtas.20150404.16},
      eprint = {https://download.sciencepg.com/pdf/10.11648.j.ajtas.20150404.16},
      abstract = {In this paper, According to the returns distributions (of the financial assets returns series) with peak fat-tailed and asymmetric and the theory of Asymmetric Laplace distribution.AL-VaR (AL-CVaR) parametric method and Monte Carlo simulation are proposed which are based on Asymmetric Laplace distribution. We analyze the VaR (CVaR) measuring model of AL distribution and discuss its backtesting. And then we evaluate the pros and cons of each method combining with the characteristics of the stock market risk of three countries. (America、 China and Japan).},
     year = {2015}
    }
    

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    AU  - Hong Zhang
    AU  - Li Zhou
    AU  - Jie Zhu
    Y1  - 2015/06/08
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    JO  - American Journal of Theoretical and Applied Statistics
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    AB  - In this paper, According to the returns distributions (of the financial assets returns series) with peak fat-tailed and asymmetric and the theory of Asymmetric Laplace distribution.AL-VaR (AL-CVaR) parametric method and Monte Carlo simulation are proposed which are based on Asymmetric Laplace distribution. We analyze the VaR (CVaR) measuring model of AL distribution and discuss its backtesting. And then we evaluate the pros and cons of each method combining with the characteristics of the stock market risk of three countries. (America、 China and Japan).
    VL  - 4
    IS  - 4
    ER  - 

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