Computing VaR and AVaR of Skewed-T Distribution

We consider the skewed-T distribution defined as a location-scale normal mixture. Analytical formulas for its value-at-risk and average value-at-risk are derived. High-accuracy approximations are developed and numerically tested

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Year of publication:	2010
Authors:	Dokov, Steftcho
Other Persons:	Stoyanov, Stoyan V. (contributor) ; Rachev, Svetlozar (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	VAR-Modell \| VAR model \| Risikomaß \| Risk measure \| Statistische Verteilung \| Statistical distribution \| Theorie \| Theory

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Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Applied Functional Analysis, 3, pp. 189-209, 2008 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 11, 2007 erstellt
Classification:	C16 - Specific Distributions ; G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013134868