Derivation of non-Gaussian closed-form solutions for the most important risk measures, under the assumption of a Student-t distribution for financial returns. Comparison with the typical techniques used in quantitative finance.

A non-Gaussian approach to risk measures

BORMETTI, GIACOMO;
2007

Abstract

Derivation of non-Gaussian closed-form solutions for the most important risk measures, under the assumption of a Student-t distribution for financial returns. Comparison with the typical techniques used in quantitative finance.
Financial returns; heavy tails; Value-at-Risk; Expected Shortfall
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11384/10761
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