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Applications of Statistical Distributions in Risk Management
Company: European Journal of Economics, Finance and Administrative Sciences
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: June
Pages: 20
Download Count: 14
View Count: 1590
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 10-2-2011
Publisher: Administrator
Summary
Value at Risk (VaR) becomes the popular concept in risk measurement during the recent
years. Statistical distributions play the important roles in VaR analysis. Although the most
basic normal distribution is useful for understanding basic VaR approach, it becomes an
inappropriate distribution when we need accuracy in VaR measures. Then, this paper
presents various methods and tools that apply statistical distributions in VaR estimation
ranging from parametric estimation to nonparametric estimation.
Author(s)
Sukcharoensin, Sorasart Sign in to follow this author
Sukcharoensin, Pariyada Sign in to follow this author
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