Using the t -distribution instead or applying extreme value theory (EVT) have been proposed as possible solutions to this problem. We study the effect on the quality of risk estimators if estimation ...

The few that are concerned with their multivariate extensions are mainly based on the multivariate normal assumption. The idea of this paper is to use the multivariate normal inverse Gaussian (MNIG) ...

Discover normal distribution—a critical concept in finance—and its key properties, formula, and real-world applications. Learn how it impacts financial decision-making.