On approximations of value at risk and expected shortfall involving kurtosis-Reference-Cited by-同舟云学术

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On approximations of value at risk and expected shortfall involving kurtosis

Published:2021-01-17 Issue: Volume: Page:1-25
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Barczy Mátyás¹^ORCID,Dudás Ádám²^ORCID,Gáll József³^ORCID

Affiliation:

1. MTA-SZTE Analysis and Stochastics Research Group, Bolyai Institute, University of Szeged, Szeged, Hungary

2. Faculty of Science and Technology, University of Debrecen, Debrecen, Hungary

3. Faculty of Informatics, University of Debrecen, Debrecen, Hungary

Funder

Matyas Barczy is supported by the Janos Bolyai Research Scholarship of the Hungarian Academy of Sciences.

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2020.1869985

Reference20 articles.

1. Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices

2. Monte Carlo Methods for Insurance Risk Computation

3. Basel Committee of Banking Supervision . 2019. Minimum capital requirements for market risk. Bank for International Settlements, Basel. https://www.bis.org/bcbs/

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