Abstract

This article derives the moment functions of the truncated skewed type III generalized logistic (SGL). These are then applied in finance for the development of value at risk (VaR), expected shortfall (ES), and downside risk measures for investment returns and values. The SGL distribution provides and good fit to the empirical distribution of a representative set of long series of financial data. Moreover, the SGL generates accurate VaR measures.

中文翻译：

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截断偏斜 III 型广义逻辑分布：风险测量应用

摘要

本文推导截断偏斜 III 型广义逻辑 (SGL) 的矩函数。然后将这些应用于金融中，以开发风险价值 (VaR)、预期短缺 (ES) 以及投资回报和价值的下行风险度量。SGL 分布提供并很好地拟合了一组具有代表性的长系列金融数据的经验分布。此外，SGL 生成准确的 VaR 度量。