Empirical Issues in Value-at-Risk

For the purpose of Value-at-Risk (VaR) analysis, a model for the return distribution is important because it describes the potential behavior of a financial security in the future. We analyze the extension of the normal distribution function to allow for fatter tails and for time-varying volatility. Equally important to the distribution function are the associated parameter values...

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Year of publication:	2001-11-01
Authors:	Bams, Dennis ; Wielhouwer, Jacco L.
Institutions:	International Actuarial Association / Actuarial Studies in Non-Life Insurance
Published in:	Casualty Actuarial Society - Publications ASTIN BULLETIN ; Vol. 31 - No. 2 - 2001, 299-315
Subject:	Value at Risk

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Extent:	901120 bytes 17 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847084