VAR assessment under nongaussian distribution of returns
The study aims to assess the impact of violation of the assumption about normality of the investment portfolio returns on its risk measures. The article is focused on the Value at Risk (VaR) metric required by major regulatory authorities for bank risk assessment. Using historical share prices of se...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Russian |
| Published: |
MIREA - Russian Technological University
2020-04-01
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| Series: | Российский технологический журнал |
| Subjects: | |
| Online Access: | https://www.rtj-mirea.ru/jour/article/view/212 |