Artikel
The risk measurement under the variance-gamma process with drift switching
The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed that the linear drift coefficient may switch to a different value at the exponentially distributed time. The size of the drift jump is supposed to have a multinomial distribution. We have obtained the distribution function, the probability density function and the lower partial expectation for the considered process in closed forms. The results are applied to the calculation of the value at risk and the expected shortfall of the investment portfolio in the related multivariate stochastic model.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 1 ; Pages: 1-27 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
variance-gamma process
drift switching
exponential distribution
hypergeometric function
lower partial expectation
value at risk
expected shortfall
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ivanov, Roman V.
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
-
2022
- DOI
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doi:10.3390/jrfm15010022
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Ivanov, Roman V.
- MDPI
Entstanden
- 2022
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