Download This PaperTruncated Skewed Type III Generalized Logistic Distribution: Risk Measurement Applications
35 Pages Posted: 24 May 2018 Last revised: 20 Apr 2020
Date Written: April 19, 2020
Abstract
This paper derives the moment functions of the truncated skewed type III generalized logistic (SGL). These are then applied in finance for the development of value-at-risk, expected shortfall and downside risk measures for investment returns and values. The SGL distribution provides and good fit to the empirical distribution of a representative set of long series of financial data. Moreover, the SGL generates accurate value at risk measures.
Keywords: downside risk, expected shortfall, flexible distributions, value at risk
JEL Classification: C46, G10, G20
Suggested Citation: Suggested Citation
Theodossiou, Panayiotis, Truncated Skewed Type III Generalized Logistic Distribution: Risk Measurement Applications (April 19, 2020). Available at SSRN: https://ssrn.com/abstract=3178544 or http://dx.doi.org/10.2139/ssrn.3178544
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