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On a Class of Alpha-stable Distributions and Its Applications in Estimating Market Risk

Daniel Traian Pele, Vasile Nicolae Stanciulescu

References:

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[3] Kogon, S. M. & Williams, D. B. (1998). Characteristic Function Based Estimation of Stable Distribution Parameters. In A Practical Guide to Heavy Tails. Statistical Techniques and Applications, R. J. Adler, R.E. Feldman, M. Taqqu eds., Birkhauser, Boston, 311-335.

[4] Kupiec P. (1995).Techniques for Verifying the Accuracy of Risk Management Models. Journal of Derivatives,3, 1995, 73-84.

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[6] Nolan, J. P. (2011). Stable Distributions - Models for Heavy Tailed Data. Boston. Birkhauser. Un.nished Manuscript, Chapter 1 Online at Academic2.American.Edu/_Jpnolan.

[7] Pele, D. T. (2014). A SAS Approach for Estimating the Parameters of an Alpha-stable Distribution. Procedia Economics and Finance 10, 68-77, 2014, available online at http.//www.sciencedirect.com/science/article/pii/S2212567114002792.

[8] Rachev, S., Mitnik, S. (2000). Stable Paretian Models in Finance. John Wiley, Series in Financial Economics and Quantitative Analysis, Chechester, New York.

[9] Racheva-Iotova, B. (2010). An Integrated System for Market Risk, Credit Risk and Portfolio Optimization Based on Heavy-Tailed Models and Downside Risk Measures. Dissertation, LMU München. Faculty of Mathematics, Computer Science and Statistics, see http.//edoc.ub.uni-muenchen.de/12375/1/Racheva-Iotova_Borjana.pdf.

[10] Rachev, S. (2003). Handbook of Heavy Tailed Distributions in Finance, Elsevier.

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[12] Weron, R. (1996). On the Chambers-Mallows-Stuck method for simulating skewed stable random variables.Statistics and Probability Letters 28: 165-171.

[13] *** SAS quantlet to estimate the parameters of an alpha-stable distribution. http://quantlet.de/index.php?p=show&id=2320.