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- W622718253 abstract "In this paper, According to the returns distributions (of the financial assets returns series) with peak fat-tailed and asymmetric and the theory of Asymmetric Laplace distribution.AL-VaR (AL-CVaR) parametric method and Monte Carlo simulation are proposed which are based on Asymmetric Laplace distribution. We analyze the VaR (CVaR) measuring model of AL distribution and discuss its backtesting. And then we evaluate the pros and cons of each method combining with the characteristics of the stock market risk of three countries. (America、 China and Japan)." @default.
- W622718253 created "2016-06-24" @default.
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- W622718253 date "2015-01-01" @default.
- W622718253 modified "2023-10-18" @default.
- W622718253 title "Study on Financial Market Risk Measurement Based on Asymmetric Laplace Distribution" @default.
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- W622718253 doi "https://doi.org/10.11648/j.ajtas.20150404.16" @default.
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