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 panel will discuss ways to allocate resources and minimize potential exposure with a set of analytical tools to assess, simulate and quantify operational risk capital to improve business efficiency and performance across the enterprise.
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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.