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The g-and-h distribution is able to handle well the complex behavior of loss data and applied to operational losses suggests that indirect inference estimators of VaR outperform quantile-based estimators Click to show full abstract
The g-and-h distribution is able to handle well the complex behavior of loss data and applied to operational losses suggests that indirect inference estimators of VaR outperform quantile-based estimators
Keywords:
value risk;
indirect inference;
estimating value;
risk distribution;
distribution
Journal Title: Quantitative Finance
Year Published: 2019
Link to full text (if available)
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Journal Title: Quantitative Finance
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!