Computing VaR and AVaR of Skewed-T Distribution

Journal of Applied Functional Analysis, 3, pp. 189-209, 2008

19 Pages Posted: 24 Dec 2010

See all articles by Steftcho Dokov

Steftcho Dokov

affiliation not provided to SSRN

Stoyan V. Stoyanov

Charles Schwab

Svetlozar Rachev

Texas Tech University

Date Written: December 11, 2007

Abstract

We consider the skewed-T distribution defined as a location-scale normal mixture. Analytical formulas for its value-at-risk and average value-at-risk are derived. High-accuracy approximations are developed and numerically tested.

Keywords: skewed-T distribution, value-at-risk, average value-at-risk, conditional value-at-risk

JEL Classification: C16, G32

Suggested Citation

Dokov, Steftcho and Stoyanov, Stoyan Veselinov and Rachev, Svetlozar, Computing VaR and AVaR of Skewed-T Distribution (December 11, 2007). Journal of Applied Functional Analysis, 3, pp. 189-209, 2008, Available at SSRN: https://ssrn.com/abstract=1730263

Steftcho Dokov

affiliation not provided to SSRN ( email )

Stoyan Veselinov Stoyanov (Contact Author)

Charles Schwab ( email )

101 Montgomery Street (120K-15)
San Francisco, CA 94104
United States

Svetlozar Rachev

Texas Tech University ( email )

Dept of Mathematics and Statistics
Lubbock, TX 79409
United States
631-662-6516 (Phone)

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