Statistical Methods in Finance 2021

June 27 to July 1, 2021, 2-8pm IST


Modeling long term asset loss

By Tushar Kanti Powdel
Tezpur University, India

We introduce a mathematical model for asset loss, where the asset is held over a long time period. This model is a generalization of the well known random walk model and provides the mathematical basis for normal approximation and i.i.d. bootstrap approximation of the long-term loss distribution and its quantiles. We discuss applications of our results in finance in the context of estimating the Value-at-Risk, Median Shortfall and the Short-Fall distribution of an asset or portfolio over a long time period and propose a back-test for the risk estimates. Back-testing with real data based on the Nifty 50 index of the national stock exchange in India suggests that the proposed model yields reliable estimate of the annual VaR of the Nifty 50 index.

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Call for Papers in Sankhya B: Special Issue on Recent Advances in Statistical Finance

The aim of this special issue is to feature research papers on theory, methodology, and applications of models and methods for recent advances in statistical finance. We encourage submissions presenting original works on statistical, computational, and mathematical approaches to modelling and analysis of financial data. Innovative applications and case studies in financial statistics are welcome, especially related to novel methodological challenges in the treatment of big data and high-frequency data.

This special issue will bring together contributions from practitioners and researchers working on different aspects of statistical methods in finance, with methodological interests encompassing, but not limited to, the following domains:

The motivating application areas could be: For More Detail ...

If you are a student and want your paper to be considered for student paper competition, then ask your supervisor to send a mail at, with a particular mention that you were the primary contributor and author of the paper by May 15, 2021.

You must submit your paper by May 15, 2021, to be considered for the competition. Mail your paper at

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