Portfolio Analysis / Risk Measures / Value At Risk Estimation
Cornish-Fisher Value At Risk
Compute the parametric Cornish-Fisher value at risk of a portfolio.
References
- Laurent Favre and José-Antonio Galeano, Mean-Modified Value-at-Risk Optimization with Hedge Funds, The Journal of Alternative Investments Fall 2002, 5 (2) 21-25
- 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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