Chen, Rongda; Yu, Lean - In: Economic Modelling 35 (2013) C, pp. 796-804
This paper proposes a novel nonlinear model for calculating Value-at-Risk (VaR) when the market risk factors of an option portfolio are heavy-tailed. A multivariate mixture of normal distributions is used to depict the heavy-tailed market risk factors and accordingly a closed form expression for...