Mabitsela, Lesedi; Maré, Eben; Kufakunesu, Rodwell - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 103-126
The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be normally distributed. However, though simple to...