Lin, Chu‐Hsiung; Shen, Shan‐Shan - In: The Journal of Risk Finance 7 (2006) 3, pp. 292-300
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...