Pafka, Szilárd; Kondor, Imre - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 305-310
We analyze the performance of RiskMetrics, a widely used methodology for measuring market risk. Based on the assumption of normally distributed returns, the RiskMetrics model completely ignores the presence of fat tails in the distribution function, which is an important feature of financial...