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- W3122068991 abstract "Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the monotonicity of the distribution function as well as convergence are not guaranteed - make it seem unattractive. In many practical situations, however, its actual accuracy is more than sufficient and the Cornish-Fisher-approximation can be computed faster (and simpler) than other methods like numerical Fourier inversion. This paper tries to provide a balanced view on when and when not to use Cornish-Fisher in this context." @default.
- W3122068991 created "2021-02-01" @default.
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- W3122068991 date "2001-01-01" @default.
- W3122068991 modified "2023-09-27" @default.
- W3122068991 title "The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations" @default.
- W3122068991 hasPublicationYear "2001" @default.
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