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

DOI10.1080/03610918.2013.863921MaRDI QIDQ2809621zbMATH OpenOpenAlexFDO

Authors Donald Lien, Christopher Stroud, 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

Cornish-FisherEdgeworthGram-CharlierJohnson distributionkurtosisrearrangementskewnessvalue at riskVaR

Mathematics Subject Classification ID

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

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Cites work

• Alternative approximations to value-at-risk: a comparison
• Option pricing when underlying stock returns are discontinuous
• Rearranging Edgeworth-Cornish-Fisher expansions

Cited in

(2)

• Alternative approximations to value-at-risk: a comparison
• Portfolio value-at-risk approximation for geometric Brownian motion

Describes a project that uses

Uses Software

• JohnsonDistribution
• R

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