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An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions
Company: Swedish School of Economics and Business Administration
Year Of Publication: 2007
Month Of Publication: April
Pages: 41
Download Count: 347
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 6-24-2007
Publisher: Administrator
Summary
This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices. The performance of models that takes into account skewness and fat-tails are compared to symmetric models. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast.
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Kulp-Tag, Sofie Sign in to follow this author
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