Purpose – This paper aims to investigate how effectively the value at risk (VaR) estimated using the student-t distribution captures the market risk. Design/methodology/approach – Two alternative VaR models, VaR-t and VaR-x models, are presented and compared with the benchmark model (VaR-n...

Purpose – This paper aims to investigate how effectively the value at risk (VaR) estimated using the student‐ t distribution captures the market risk. Design/methodology/approach – Two alternative VaR models, VaR‐t and VaR‐x models, are presented and compared with the benchmark model...