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Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/62681
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| Title: | | The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations  |
| 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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