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Autor:innen: 
Erscheinungsjahr: 
2001
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 2001,54
Verlag: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Value at Risk
Delta-Gamma-Normal
Cornish-Fisher expansion
Edgeworth series
Gram-Charlier series
JEL: 
C10
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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