A VaR assuming Student t distribution not significantly different from a VaR assuming normal distribution
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DOI: 10.1057/s41283-017-0017-9
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- Nupur Moni Das & Bhabani Sankar Rout, 2024. "Equity Price Risk of Commercial Banks in India," Arthaniti: Journal of Economic Theory and Practice, , vol. 23(2), pages 179-201, December.
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Keywords
VaR; Student t distribution; Normal distribution; Adjustment factor; Sigma threshold;All these keywords.
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