Variance Risk Measures with the Standardized Pearson Type IV Distribution

We elaborate on the tail conditional expectation, the tail conditional variance, and the tail variance when the residuals follow the standardized Pearson type-IV distribution. If the probability density function describing the data generation process is continuous and the moments are finite, such theoretical considerations might contribute to reasonable easily quantified measures of risk, especially in the cases where according to the recent practice in several Accords the number of trading days used in risk evaluation is limited