Application of the multivariate skew normal mixture model with the EM Algorithm to Value-at-Risk

Application of the multivariate skew normal mixture model with the EM Algorithm to Value-at-Risk

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 s...

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Bibliographic Details
Main Authors: Soltyk, S., Gupta, Ritu
Other Authors: F. Chan
Format: Conference Paper
Published: MODSIM 2011 2011
Online Access:http://hdl.handle.net/20.500.11937/49763

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