Normality assumptions and risk management: an application of the parametric var via goodness-of-fit test
Given the weaknesses of the parametric VaR (Value-at-Risk) calculated by normality assumptions, this paper develops a method of parametric VaR calculation considering ten different probability distributions. Specifically, the distribution to be used for the VaR calculation of a specific asset or por...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidade Federal de Santa Catarina
2014-05-01
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| Series: | Revista Produção Online |
| Subjects: | |
| Online Access: | http://producaoonline.org.br/rpo/article/view/1130 |