Value at risk using hyperbolic distributions

By Christian Bauer. 2000

60 citations recorded by the source corpus.

How researchers see this paper

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Measuring Market Risk (2002, methodology): “A promising alternative is to use elliptical distributions, as suggested in recent work by Eberlein, Bauer and others (see, e.g., Eberlein et al. (1998), Eberlein (1999), Bauer (2000), Breckling et al.”
A semi-parametric approach to risk management (2003, methodology): “The class GH, and more generally NVM, has been used in many dimensions in the context of portfolio theory by Bingham and Kiesel (2001b) and Bauer (2000), or in particular Eberlein (2001), Eberlein and Prause (2002) and Eberlein and Özkan (2003) and references therein.”