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

Adriana P. Mattedi·Fernando M. Ramos·Reinaldo R. Rosa·Rosario N. Mantegna
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Abstract

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.

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Adriana P. Mattedi, Fernando M. Ramos, Reinaldo R. Rosa, Rosario N. Mantegna. 2004-03-15. Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector. https://arxiv.org/abs/cond-mat/0402654

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