The Cornish-Fisher-Expansion in the Context of Delta - Gamma - Normal Approximations
The Cornish-Fisher-Expansion in the Context of Delta - Gamma - Normal Approximations
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DOI:
10.21314/jor.2002.068
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发表时间:
2002-07
期刊:
影响因子:
0.7
通讯作者:
S. Jaschke
中科院分区:
文献类型:
--
作者:
S. Jaschke
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.