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Value at Risk and Expected Shortfall Improved Calculation Based on the Power Transformation Method

Arturo Leccadito, Pietro Toscano and Radu S. Tunaru
The Journal of Derivatives Winter 2014, 22 (2) 67-81; DOI: https://doi.org/10.3905/jod.2014.22.2.067
Arturo Leccadito
is an assistant professor of financial mathematics in the Department of Economics, Statistics and Finance at the University of Calabria in Rende, Italy.
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  • For correspondence: arturo.leccadito@unical.it
Pietro Toscano
is a senior investment risk manager in the Risk & Quantitative Analysis Group at BlackRock in San Francisco, CA.
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  • For correspondence: dr.pietrotoscano@gmail.com
Radu S. Tunaru
is a professor in quantitative finance at Kent Business School at the University of Kent in Canterbury, U.K.
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  • For correspondence: r.tunaru@kent.ac.uk
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Article Information

vol. 22 no. 2 67-81
DOI 
https://doi.org/10.3905/jod.2014.22.2.067

Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online November 30, 2014.

Copyright & Usage 
© 2014 Institutional Investor, Inc.

Author Information

  1. Arturo Leccadito
    1. is an assistant professor of financial mathematics in the Department of Economics, Statistics and Finance at the University of Calabria in Rende, Italy. (arturo.leccadito{at}unical.it)
  2. Pietro Toscano
    1. is a senior investment risk manager in the Risk & Quantitative Analysis Group at BlackRock in San Francisco, CA. (dr.pietrotoscano{at}gmail.com)
  3. Radu S. Tunaru
    1. is a professor in quantitative finance at Kent Business School at the University of Kent in Canterbury, U.K. (r.tunaru{at}kent.ac.uk)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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The Journal of Derivatives: 22 (2)
The Journal of Derivatives
Vol. 22, Issue 2
Winter 2014
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Value at Risk and Expected Shortfall Improved Calculation Based on the Power Transformation Method
Arturo Leccadito, Pietro Toscano, Radu S. Tunaru
The Journal of Derivatives Nov 2014, 22 (2) 67-81; DOI: 10.3905/jod.2014.22.2.067

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Value at Risk and Expected Shortfall Improved Calculation Based on the Power Transformation Method
Arturo Leccadito, Pietro Toscano, Radu S. Tunaru
The Journal of Derivatives Nov 2014, 22 (2) 67-81; DOI: 10.3905/jod.2014.22.2.067
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  • Article
    • Abstract
    • THE POWER POLYNOMIAL TRANSFORMATION METHOD
    • PERFORMANCE OF THE APPROXIMATION
    • EMPIRICAL APPLICATION
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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