Baixauli, J.; Alvarez, Susana - In: Review of Quantitative Finance and Accounting 27 (2006) 1, pp. 27-46
The calculus of VaR involves dealing with the confidence level, the time horizon and the true underlying conditional distribution function of asset returns. In this paper, we shall examine the effects of using a specific distribution function that fits well the low-tail data of the observed...
