Modified VaR based on Cornish Fischer expansion ?

Discussion in 'P2.T5. Market Risk (25%)' started by Bishnoi, Apr 23, 2012.

  1. Bishnoi

    Bishnoi New Member

    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
  2. 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)?
  3. Aleksander Hansen

    Aleksander Hansen Well-Known Member

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