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On risk measuring in the variance-gamma model

  • Roman V. Ivanov EMAIL logo
Veröffentlicht/Copyright: 12. Oktober 2017
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Abstract

In this paper, we discuss the problem of calculating the primary risk measures in the variance-gamma model. A portfolio of investments in a one-period setting is considered. It is supposed that the investment returns are dependent on each other. In terms of the variance-gamma model, we assume that there are relations in both groups of the normal random variables and the gamma stochastic volatilities. The value at risk, the expected shortfall and the entropic monetary risk measures are discussed. The obtained analytical expressions are based on values of hypergeometric functions.

Acknowledgements

I am grateful to the reviewers whose numerous suggestions and remarks made the work essentially better.

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Received: 2017-3-27
Revised: 2017-8-9
Accepted: 2017-9-8
Published Online: 2017-10-12
Published in Print: 2018-1-1

© 2017 Walter de Gruyter GmbH, Berlin/Boston

Heruntergeladen am 21.12.2025 von https://www.degruyterbrill.com/document/doi/10.1515/strm-2017-0008/pdf
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