Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun - In: The Journal of Risk Finance 18 (2017) 1, pp. 88-118
Purpose The purpose of the paper is to back-test value-at-risk (VaR) models for conditional distributions belonging to a Generalized Hyperbolic (GH) family of Lévy processes – Variance Gamma, Normal Inverse Gaussian, Hyperbolic distribution and GH – and compare their risk-management...