Analyzing the use of generalized hyperbolic distributions to value at risk calculations

Analyzing the use of generalized hyperbolic distributions to value at risk calculations

The goal of this paper is to analyze the use of the Generalized Hyperbolic (GH) Distributions to model the US Dollar/Brazilian Real exchange rate in a way to produce more accurate VaR (Value at Risk) measurements. After the GH parameters estimation, several distances were calculated to verify the f...

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Bibliographic Details
Main Authors: José Santiago Fajardo Barbadian, Aquiles Rocha de Farias, José Renato Haas Ornelas
Format: Article
Language:Portuguese
Published: Universidade de São Paulo 2005-02-01
Series:Economia Aplicada
Subjects:
value at risk
generalized hyperbolic distributions
backtesting
Online Access:https://www.revistas.usp.br/ecoa/article/view/221386

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