Value at risk for a mixture of normal distributions: the use of quasi- Bayesian estimation techniques

Subu Venkataraman

Economic Perspectives, 1997, vol. 21, issue Mar, 2-13

Abstract: This article proposes a methodology for measuring value at risk for fat-tailed asset return distributions. Simulation-based results indicate that this approach provides better estimates of risk than one based on the assumption that asset returns are normally distributed.

Keywords: Econometric models; Risk (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (32)

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