Quantification of VaR: A Note on VaR Valuation in the South African Equity Market

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...

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Bibliographic Details
Main Authors: Lesedi Mabitsela, Eben Maré, Rodwell Kufakunesu
Format: Article
Language:English
Published: MDPI AG 2015-02-01
Series:Journal of Risk and Financial Management
Subjects:
Value-at-Risk
Normal Inverse Gaussian (NIG)
FTSE/JSE TOP40 index
Online Access:http://www.mdpi.com/1911-8074/8/1/103

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