An Estimation of VaR under Price Limits

Abstract

In this paper, we investigate the estimation of the value at risk(VaR) when stock prices are subjected to price limits. The mixture of probability mass functions and beta density functions is proposed to derive the distribution of asset returns. The analyses of real data show that the proposed distribution is appropriate to explain the VaR when the price limits exist in the data.

Keywords

• 가격제한;
• 베타분포;
• 수익률;
• 위험률;
• 혼합형분포;