Alternative Approximations to Value-At-Risk: A Comparison
نویسندگان
چکیده
This paper compares three value-at-risk approximation methods suggested in the literature: Cornish-Fisher (1937), Sillitto (1969), and Liu (2010). Simulation results are obtained for three families of distributions: student-t, skewed-normal, and skewed-t. We recommend the Sillitto approximation as the best method to evaluate the value at risk when the financial return has an unknown, skewed, and heavy-tailed distribution.
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ورودعنوان ژورنال:
- Communications in Statistics - Simulation and Computation
دوره 43 شماره
صفحات -
تاریخ انتشار 2014