Derivation of non-Gaussian closed-form solutions for the most important risk measures, under the assumption of a Student-t distribution for financial returns. Comparison with the typical techniques used in quantitative finance.
A non-Gaussian approach to risk measures
BORMETTI, GIACOMO;CISANA, ENRICA VERA;MONTAGNA, GUIDO;
2007-01-01
Abstract
Derivation of non-Gaussian closed-form solutions for the most important risk measures, under the assumption of a Student-t distribution for financial returns. Comparison with the typical techniques used in quantitative finance.File in questo prodotto:
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