Comparing VaR Approximation Methods that Use the First Four Moments as Inputs

DOI10.1080/03610918.2013.863921zbMath1339.91137OpenAlexW2123136456MaRDI QIDQ2809621

Christopher Stroud, Donald Lien, Keying Ye

Publication date: 30 May 2016

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.863921

zbMATH Keywords

rearrangementkurtosisskewnessvalue at riskVaRJohnson distributionCornish-FisherEdgeworthGram-Charlier

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)

Uses Software

• Unnamed Item
• JohnsonDistribution

Cites Work

• Rearranging Edgeworth-Cornish-Fisher expansions
• Alternative Approximations to Value-At-Risk: A Comparison
• Option pricing when underlying stock returns are discontinuous

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