The estimation and decomposition of value-at-risk for non-normal portfolio returns
Value-at-risk (VaR) is a widely used measure for evaluating the market risk of a trading portfolio. This article presents the g-and-h method for estimating the VaR of a portfolio with non-normal returns, and adds to the usefulness of VaR as a risk management tool by decomposing the portfolio into in...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2013-12-01
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| Series: | Journal of Business Economics and Management |
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| Online Access: | https://journals.vgtu.lt/index.php/JBEM/article/view/3771 |