Hi, Is there a resource detailing about Modified VaR calc based on Cornish Fischer expansion ?can it measure risk based on all return factors ? Thanks Bishnoi
Hi Bishnoi - I can't claim it's the best specifically on C-F, but Carol Alexander's Vol IV has a brief chapter http://www.amazon.com/Market-Analysis-Models-Finance-Series/dp/0470997885/ (may or may not accompany with an XLS). Can it measure multiple risk factors? To my knowledge, yes. Doesn't it tweak the normal deviate to simulate 3rd/4th moments, such that it could plug into any multivariate normal linear VaR (is my superficial reaction)?
This one elaborates on stochastic simulation approaches, including techniques such as Cornish-Fisher, with accompanying code for Matlab. C-F is definitely not on the frontier of finance though. http://www.amazon.com/Stochastic-Simulation-Applications-Finance-Programs/dp/0470725389
