Journal Article

Value at risk for a mixture of normal distributions: the use of quasi- Bayesian estimation techniques

Abstract: This article proposes a methodology for measuring value at risk for fat-tailed asset return distributions. Simulation-based results indicate that this approach provides better estimates of risk than one based on the assumption that asset returns are normally distributed.

Keywords: Econometric models; Risk;

Bibliographic Information

Provider: Federal Reserve Bank of Chicago

Part of Series: Economic Perspectives

Publication Date: 1997

Volume: 21

Issue: Mar

Pages: 2-13