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...
Year of publication: |
2001-11-01
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Authors: | Bams, Dennis ; Wielhouwer, Jacco L. |
Institutions: | International Actuarial Association / Actuarial Studies in Non-Life Insurance |
Published in: | |
Subject: | Value at Risk |
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