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Part II
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Market Risk Measurement and Management
Market Risk Measurement and Management
Medium
Using the Cornish-Fisher expansion, a portfolio with negative skewness (S = -0.5) and positive excess kurtosis (K = 3) will have a 99% VaR that is:
A
Higher than the normal VaR because both negative skewness and excess kurtosis push the left-tail quantile further from the mean
B
Lower than the normal VaR because the skewness adjustment reduces the z-score
C
Equal to the normal VaR because the skewness and kurtosis effects cancel out
D
Higher than the normal VaR only because of kurtosis; skewness has no effect on VaR
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Tags
#cornish-fisher
#skewness
#kurtosis
#var-adjustment
#non-normality
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