Results 1 
3 of
3
Some Useful Densities for Risk Management and their Properties
, 2011
"... Suppose a risk manager cares about the (conditional) variance, skewness and kurtosis of returns and uses a parametric density function based on the first four (conditional) moments. There are quite a few densities to choose from and depending on which is selected, the risk manager implicitly assumes ..."
Abstract

Cited by 2 (0 self)
 Add to MetaCart
Suppose a risk manager cares about the (conditional) variance, skewness and kurtosis of returns and uses a parametric density function based on the first four (conditional) moments. There are quite a few densities to choose from and depending on which is selected, the risk manager implicitly assumes very different tail behavior and very different feasible skewness/kurtosis combinations. Surprisingly, there is no systematic analysis of the tradeoff he or she faces. It is the purpose of the paper to address this. We focus on the tail behavior and the range of skewness and kurtosis as these are key for risk management.
Elliptic solutions of the Toda chain and a generalization of the StieltjesCarlitz polynomials
, 2007
"... ..."