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Title:The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations PDF Logo
Authors:Jaschke, Stefan R.
Issue Date:2001
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,54
Abstract:Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the monotonicity of the distribution function as well as convergence are not guaranteed - make it seem unattractive. In many practical situations, however, its actual accuracy is more than sufficient and the Cornish-Fisher-approximation can be computed faster (and simpler) than other methods like numerical Fourier inversion. This paper tries to provide a balanced view on when and when not to use Cornish-Fisher in this context.
Subjects:Value at Risk
Delta-Gamma-Normal
Cornish-Fisher expansion
Edgeworth series
Gram-Charlier series
JEL:C10
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10050077
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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