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...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
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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
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.