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Handbook of Computational Statistics pp 1025–1059Cite as

Heavy-Tailed Distributions in VaR Calculations

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Abstract

Market risks are the prospect of financial losses – or gains – due to unexpected changes in market prices and rates. Evaluating the exposure to such risks is nowadays of primary concern to risk managers in financial and non-financial institutions alike. Since the early 1990s a commonly used market risk estimation methodology has been the Value at Risk (VaR).

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Author information

Authors and Affiliations

  1. Santander Consumer Bank S.A., Wrocław, Poland

    Adam Misiorek

  2. Institute of Organization and Management, Wrocław University of Technology, Wrocław, Poland

    Rafał Weron

Authors
  1. Adam Misiorek
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  2. Rafał Weron
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Correspondence to Rafał Weron .

Editor information

Editors and Affiliations

  1. Dept. Computational & Data, Sciences, George Mason University, University Drive 4400, Fairfax, 22030-4444, Virginia, USA

    James E. Gentle

  2. L.v.Bortkiewicz Chair of Statistics, C.A.S.E. Centre f. Appl. Stat. & Econ., Humboldt-Universität zu Berlin, Unter den Linden 6, Berlin, 10099, Germany

    Wolfgang Karl Härdle

  3. Dept. Socioinformation, Okayama University, Ridai-cho 1-1, Okayama, 700-0005, Japan

    Yuichi Mori

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Misiorek, A., Weron, R. (2012). Heavy-Tailed Distributions in VaR Calculations. In: Gentle, J., Härdle, W., Mori, Y. (eds) Handbook of Computational Statistics. Springer Handbooks of Computational Statistics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-21551-3_34

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