Introduced in the 1980s, value at risk has been a popular measure of financial risk. However, value at risk suffers from a number of drawbacks as measure of financial risk. An alternative measure referred to as <italic>expected shortfall</italic> was introduced in late 1990s to circumvent these drawbacks. Much...

Historically, the normal variance model has been used to describe stock return distributions. This model is based on taking the conditional stock return distribution to be normal with its variance itself being a random variable. The form of the actual stock return distribution will depend on...