Computing VaR and AVaR of Skewed-T Distribution
Journal of Applied Functional Analysis, 3, pp. 189-209, 2008
19 Pages Posted: 24 Dec 2010
Date Written: December 11, 2007
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: Suggested Citation