The risk manager has 10 years of monthly data for a time series of realizations of the

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The risk manager has 10 years of monthly data for a time series of realizations of the risk factor. The sample skewness and kurtosis are "0,2 and 3.5. Check whether these numbers are consistent with a normal distribution.

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Value at Risk The New Benchmark for Managing Financial Risk

ISBN: 978-0071464956

3rd edition

Authors: Philippe Jorion

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Question Posted: May 03, 2016 02:12 AM

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The risk manager has 10 years of monthly data for a time series of realizations of the

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Value at Risk The New Benchmark for Managing Financial Risk

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