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Cornish-Fisher Expansion for Commercial Real Estate Value at Risk
Company: Journal of Real Estate Finance and Economics
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: July
Resource Link: Click here to open
Download Count: 0
View Count: 729
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-17-2014
Publisher: Administrator
Summary
The purpose of this paper is to estimate distribution functions of real estate V a R while taking into account non-normality in the distribution of returns. This is accomplished by the combination of the Cornish-Fisher expansion with a certain rearrangement procedure. We demonstrate that this combination allows superior estimation, and thus a better V a R estimate, than has previously been obtainable. We also show how the use of a rearrangement procedure solves well-known issues arising from the monotonicity assumption required for the Cornish-Fisher expansion to be applicable, a difficulty which has previously limited the useful of this expansion technique.
Author(s)
Amédée-Manesme, Charles-Olivier Sign in to follow this author
Barthélémy, Fabrice Sign in to follow this author
Keenan, Donald Sign in to follow this author
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