• Print
  • Email

Economic Perspectives, Vol. 21, 2nd, No. 2, March 1997
Value at risk for a mixture of normal distributions: The use of quasi-Bayesian estimation techniques
This article proposes a methodology for measuring value at risk for fat-failed asset return distributions. Simulation-based results that indicate that this approach provides better estimates of risk than one based on the assumption that asset returns normally distributed.

Federal Reserve Bank of Chicago, 230 South LaSalle Street, Chicago, Illinois 60604-1413, USA. Tel. (312) 322-5322

Copyright © 2019. All rights reserved.

Please review our Privacy Policy | Legal Notices