This paper derives the moment functions of the truncated skewed type III generalized logistic (SGL). These are then applied in finance for the development of value-at-risk, expected shortfall and downside risk measures for investment returns and values. The SGL distribution provides and good fit...

The skewed generalized t (SGT) displays an exceptional ability in modelling the tails of the empirical distributions of returns of financial and other assets. This feature makes it an appealing candidate for the computation of value at risk and expected shortfall measures, used by regulators,...