Quantification of VaR: A Note on VaR Valuation in the South African Equity Market
The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be normally distributed. However, though simple to imp...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2015-02-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1911-8074/8/1/103 |