Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

non-normal sign in to follow this

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Value at Risk of Non-Normal Portfolios
Company: Spanish Journal of Finance and Accounting
Company Url: Click here to open
Year Of Publication: 2003
Month Of Publication: April
Resource Link: Click here to open
Pages: 290-310
Download Count: 0
View Count: 1300
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 1-26-2014
Publisher: Administrator
Examines portfolio risk using the so called Edgeworth-Sargan distribution. this density is preferable over other distributions, such a the Student's t, when fitting high frequency financial variables, because of its flexibility for improving data fits ba adding more parameters in a natural way. Furthermore, this distribution is easy to generalise to a multivariate context and, therefore, correlation coefficients among variables can be estimated efficiently. This article, therefore, provides new insights into VaR methodology by estimating the joint density of portfolio variables, and simultaneously calculating the right critical values of the underlying portfolio density. The empirical examples include the estiamation and evaluation of different portfolios composed of stock indices for major financial markets.
(number 115)
This document may be downloaded from the publisher without charge by clicking the "Buy from Publisher" button.
Perote, Javier Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile