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Computing VaR and AVaR of Skewed-T Distribution

Year: 2007

Type: preprint

Abstract: We consider the skewed-T distribution defined as a location-scale normal mixture. Analytical formulas for its value-at-risk and average value-at-risk are derived. High-accuracy approximations are developed and numerically tested.

Source: SSRN Electronic Journal

Authors: Steftcho Dokov, Stoyan V. Stoyanov, Svetlozar T. Rachev

Institutions: Charles Schwab Corporation (United States), Karlsruhe Institute of Technology

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1566915010

Cites: 8

Cited by: 26

Related to: 10