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Transactions: WSEAS TRANSACTIONS ON MATHEMATICS
Transactions ID Number: 53-835
Full Name: Yuling Wang
Position: Associate Professor
Age: ON
Sex: Female
Address: School of Science, Tianjin University of Commerce, Tianjin 300134 300072
Country: CHINA
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E-mail address: cghnju@yahoo.com.cn
Other E-mails: mjhtju@yahoo.com.cn
Title of the Paper: CVaR of Stock Return Based on Fractal Distribution
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Number of paper pages: 10
Abstract: Conditional Value at risk are widely applied to estimated financial market risks .But it lacks a convincing unified technique capturing the characters in financial data such as heavy-tails, time ¨Cvarying and short and long-range dependence. The fractal distribution can deal with these problems well. The demonstrative research shows that CVaR under stable distribution can solve these problems better.
Keywords: CVaR, financial Risks, Fractal Distribution, Heavy Tail
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