Modeling Tail Risk with Tempered Stable Distributions: An Overview

2018 ◽  
Author(s):  
Hasan A Fallahgoul ◽  
Gregoire Loeper
Keyword(s):  
Stable Distributions ◽  
Tail Risk ◽  
Tempered Stable Distributions

scholarly journals Asymmetrically tempered stable distributions with applications to finance

2019 ◽  
Vol 39 (1) ◽  
pp. 85-98
Author(s):  
A. Arefi ◽  
R. Pourtaheri
Keyword(s):  
Lévy Processes ◽  
Stable Distributions ◽  
Levy Processes ◽  
Infinitely Divisible ◽  
Financial Modeling ◽  
New Family ◽  
Tempered Stable Distributions ◽  
Exponential Lévy Models

In this paper, we introduce a technique to produce a new family of tempered stable distributions. We call this family asymmetrically tempered stable distributions.We provide two examples of this family named asymmetrically classical modified tempered stable ACMTS and asymmetrically modified classical tempered stable AMCTS distributions. Since the tempered stable distributions are infinitely divisible, Levy processes can be induced by the ACMTS and AMCTS distributions. The properties of these distributions will be discussed along with the advantages in applying them to financial modeling. Furthermore, we develop exponential Levy models for them. To demonstrate the advantages of the exponential Levy ACMTS and AMCTS models, we estimate parameters for the S&P 500 Index.

Quantile-Based Inference for Tempered Stable Distributions

2017 ◽  
Vol 53 (1) ◽  
pp. 51-83 ◽  
Author(s):  
Hasan A. Fallahgoul ◽  
David Veredas ◽  
Frank J. Fabozzi
Keyword(s):  
Stable Distributions ◽  
Tempered Stable Distributions
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