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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: 1091
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 1-26-2014
Publisher: Administrator
Summary
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)
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Author(s)
Perote, Javier Sign in to follow this author
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