Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
نویسندگان
چکیده
منابع مشابه
Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets
We analyze the performance of RiskMetrics, a widely used methodology for measuring market risk. Based on the assumption of normally distributed returns, the RiskMetrics model completely ignores the presence of fat tails in the distribution function, which is an important feature of financial data. Nevertheless, it was commonly found that RiskMetrics performs satisfactorily well, and therefore t...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2001
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(01)00310-7