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Keywords: Cornish–Fisher
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (2): 111–126.
Published: 22 April 2020
... to the Cornish–Fisher value-at-risk (CFVaR) methodology for their market risk assessment. We test CFVaR at 97.5% confidence level on 70 UL products, and we test Cornish–Fisher expected shortfall (CFES) at the same confidence level, which acts as a counter methodology for CFVaR. Findings The paper provides...
