ESTIMATION OF MARKET RISK IN CASE OF NON-GAUSSIAN ASSET’S RETURNS

Arbia Giuseppe
CEIS Working Papers
In this paper we extend the concept of Value-at-risk (VaR) to bivariate return distributions in order to obtain measures of the market risk of an asset taking into account additional features linked to downside risk exposure. We first present a general de
Number: 133
Date: Friday, December 1, 2000
Revision Date: Friday, December 1, 2000