The Risk Measurement in the Skewed Student’s t Model

21 Pages Posted: 7 Dec 2020

See all articles by Roman Ivanov

Roman Ivanov

Trapeznikov Institute of Control Sciences RAS

Date Written: December 1, 2020

Abstract

Throughout this paper, we discuss the problem of calculation of the value at risk and the expected shortfall risk measures in the skewed Student's t model. The investment portfolio which consists of assets with deterministic, inverse gamma and skewed Student's t returns is considered. Analytical results for the mentioned above monetary risk measures are derived basing on the formulas for the distribution functions of losses. The obtained formulas depend on the values of special mathematical functions including the generalized hypergeometric ones. Numerical examples of the computations are given.

Keywords: risk measurement; skewed Student's t distribution; value at risk; expected shortfall; analytical formula; generalized hypergeometric function

JEL Classification: C02; C51; C54; E52; G11

Suggested Citation

Ivanov, Roman, The Risk Measurement in the Skewed Student’s t Model (December 1, 2020). Available at SSRN: https://ssrn.com/abstract=3740156 or http://dx.doi.org/10.2139/ssrn.3740156

Roman Ivanov (Contact Author)

Trapeznikov Institute of Control Sciences RAS ( email )

65 Profsoyuznaya street
Moscow, 117997
Russia

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