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 data. Nevertheless, it was commonly found that RiskMetrics performs …