Computing VaR and AVaR of Skewed-T Distribution

Steftcho Dokov · Stoyan Veselinov Stoyanov · Svetlozar T. Rachev

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Probability and Risk Models

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.

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1994Autoregressive Conditional Density Estimation 2007The t Copula and Related Copulas 2005Calibration of multivariate generalized hyperbolic distributions using the em algorithm, with applications in risk management, portfolio optimization and portfolio credit risk 2006Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory

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2008Stochastic models for risk estimation in volatile markets: a survey 2017Heavy-Tailed Distributions and Risk Management of Equity Market Tail Events

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