Abstract Details
Activity Number:
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502
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Type:
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Contributed
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Date/Time:
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Wednesday, August 6, 2014 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #311994
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Title:
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WITHDRAWN: Using Moments to Approximate Value-at-Risk by Four Methods
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Author(s):
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Donald Lien and Christopher Stroud and Keying Ye
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Companies:
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University of Texas at San Antonio and University of Texas at San Antonio
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Keywords:
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Cornish-Fisher expansion ;
Edgeworth expansion ;
Gram-Charlier expansion ;
Increasing rearrangement ;
Johnson distributions ;
Value at risk
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Abstract:
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This paper compares four methods used to approximate value at risk (VaR) from the first four moments of a probability distribution: Cornish-Fisher (1938), Edgeworth (1907), Gram-Charlier (1902), and Johnson distributions (1949). We apply a procedure described by Chernozhukov et al. (2010) called the increasing rearrangement to the Cornish-Fisher, Edgeworth, and Gram-Charlier methods. Using the increasing rearrangement yields a single VaR approximation for any possible combination of skewness and kurtosis, and facilitates comparison of all four methods across the entire skewness-kurtosis space.
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Authors who are presenting talks have a * after their name.
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