6533b855fe1ef96bd12aff8e

RESEARCH PRODUCT

Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector

Reinaldo R. RosaRosario N. MantegnaAdriana Prest MattediFernando M. Ramos

subject

Statistics and ProbabilityRisk analysisIndex (economics)Actuarial scienceStatistical Finance (q-fin.ST)EconophysicsStatistical Mechanics (cond-mat.stat-mech)Financial riskTsallis statisticsFOS: Physical sciencesQuantitative Finance - Statistical FinanceDisordered Systems and Neural Networks (cond-mat.dis-nn)Condensed Matter - Disordered Systems and Neural NetworksCondensed Matter PhysicsFOS: Economics and businessEconomicsEconometricsTsallis distributionAsset (economics)Value at riskCondensed Matter - Statistical Mechanics

description

In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and we investigate the statistical characteristics of this index. Our results show that this index is well described by Tsallis distribution. We explore this result and modify the standard Value-at-Risk (VaR), financial risk assessment methodology in order to reflect an asset which obeys Tsallis non-extensive statistics.

yearjournalcountryeditionlanguage
2004-02-26
http://arxiv.org/abs/cond-mat/0402654