Chan, F., Marinova, D. And Anderssen, R.S. (Eds) MODSIM2011, 19th International Congress on Modelling and Simulation. 2011
DOI: 10.36334/modsim.2011.d10.soltyk
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Application of the multivariate skew normal mixture model with the EM Algorithm to Value-at-Risk

Abstract: Since returns of financial assets generally exhibit skewness and kurtosis, modelling returns using a distribution with the ability to capture both of these statistical aspects will increase the accuracy of risk forecasts based on these distributions. The authors propose the use of the multivariate skew normal (MVSN) mixture model to fit asset returns in order to increase the accuracy of Value-at-Risk (VaR) estimates. This paper presents a novel application of the MVSN mixture model to estimate VaR. There is ge… Show more

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