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Activity Number: 502
Type: Contributed
Date/Time: Wednesday, August 6, 2014 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract #311994
Title: WITHDRAWN: Using Moments to Approximate Value-at-Risk by Four Methods
Author(s): Donald Lien and Christopher Stroud and Keying Ye
Companies: University of Texas at San Antonio and University of Texas at San Antonio
Keywords: Cornish-Fisher expansion ; Edgeworth expansion ; Gram-Charlier expansion ; Increasing rearrangement ; Johnson distributions ; Value at risk
Abstract:

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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