There is an example of using the t distribution
for VaR in:
http://www.portfolioprobe.com/2012/11/19/the-estimation-of-value-at-risk-and-expected-shortfall/
The trick is to know what the variance of the
distribution is for a given value of the degrees
of freedom.
Pat
On 06/04/2013 10:54,
I already know this, I did a second post, where I mention this, but I
have still problems with the implementation, especially in case of
other distributions! But thanks for your answer.
2013/4/7 Patrick Burns pbu...@pburns.seanet.com:
There is an example of using the t distribution
for VaR in:
Hi,
I want to calculate the Value at Risk with using some distirbutions and a
volatility model.
I use the following data(http://uploadeasy.net/upload/cdm3n.rar) which are
losses (negative returns) of a company of approx. the last 10 years. So I
want to calculated the Value at Risk, this is nothing
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