Var Methodology for Non-Gaussian Finance
Habart-Corlosquet, Marine / Janssen, Jacques / Manca, Raimondo![Var Methodology for Non-Gaussian Finance](https://support.digitalhusky.com/media/annotations/sorted/144/14408111/CHSBZCOP0314408111.jpg)
With the impact of the recent financial crises, more attention must be given to new models in finance rejecting "Black-Scholes-Samuelson" assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) - one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equit...