Purpose – Recent literature discusses the persistence of skewness and tail risk in hedge fund returns. The aim of this … compared with other indicators of skewness and to employ it in some typical risk and performance measurements. Design … using delta with respect to classical skewness coefficients. Finally, it illustrates how delta can be used in risk …

assessed for their power at varying degrees of skewness, kurtosis and sample size on the basis of simulated experiments …. Findings – It is observed that almost all these tests are indifferent for smaller values of skewness and kurtosis. Further, the …

capture the amount of risk a financial firm takes on in a single trading day, risk managers use a technology known as value‐at‐risk … skewness (asymmetry) and leptokurtosis (fat‐tails). The purpose of this paper is to provide an overview of VaR and describe … methodologies used to assess value‐at‐risk (VaR), since accurate VaR measures reduce a firm's capital requirement and reassure …

model is then used to determine skewness and kurtosis of distributions of futures prices implied from option prices. Design …/methodology/approach – The relaxed lattice is based on Gaussian quadrature. The markets studied include corn, soybeans, and wheat. Skewness and … skewness is the major source of nonnormality, but both skewness and kurtosis are important as the trinomial model that …