Portfolio Analysis / Risk Measures / Conditional Value At Risk Estimation
Cornish-Fisher Conditional Value At Risk
Compute the Cornish-Fisher conditional value at risk a portfolio.
References
- Boudt, Kris and Peterson, Brian G. and Croux, Christophe, Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns (October 31, 2007). Journal of Risk, Vol. 11, No. 2, pp. 79-103, 2008.
- Maillard, Didier, A User’s Guide to the Cornish Fisher Expansion
- Lamb, John D., Maura E. Monville, and Kai-Hong Tee. Making Cornish–fisher Fit for Risk Measurement, Journal of Risk, Volume 21, Number 5, p. 53-81
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