This paper compares the fitting of the normal, generalized hyperbolic, normal inverse Gaussian and Student t distributions with the daily returns of the Portuguese Stock Index PSI-20 over the period 1992-2013.We...
This paper assesses the performance of twelve generalized autoregressive conditional heteroskedasticity (GARCH)-type models for modeling the 99% value-at-risk (VaR) for indexes from countries classified...
In this white paper, Gordon Russell, Global Head of Risk at Broadridge Investment Management Solutions argues that the chances of survival in this new environment will be greater for funds that implement solutions to efficiently and cost-effectively manage data and risk.
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Naive treatment of interaction between skew and correlation means writers of best-middle-worst options will face huge hedging losses, says top quant
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.