The Cornish–Fisher expansion in the context of Delta–Gamma-normal approximations
Year: 2002
Type: article
Abstract: Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the monotonicity of the distribution function as well as convergence are not guaranteed - make it seem unattractive. In many practical situations, however, its actual accuracy is more than sufficient and the Cornish-Fisher-approximation can be computed faster (and simpler) than other methods like numerical Fourier inversion. This paper tries to provide a balanced view on when and when not to use Cornish-Fisher in this context.
Source: The Journal of Risk
Author: Stefan Jaschke
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W153354287