Cornish-Fisher VaR
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Document ID: 2006-647 (previously #12)
Published on: 1st October 2006
There are many ways to estimate Value-at-risk (VaR) numbers which vary in precision and complexity. In this note we describe a simple method to produce efficient and accurate estimates that capture the downside risks of a portfolio. This technique is especially appropriate for asset classes with asymmetric return profiles such as corporate bonds and hedge funds.
