Fat Tails Value at Risk and the Palladium Returns

Fat Tails Value at Risk and the Palladium Returns

Jianhua Ding

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Turen Guo

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Bin Guo

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Fat Tails Value at Risk and the Palladium Returns

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Abstract

The past decade has witnessed the rapid growing of the world palladium market. Thus, it is even more important to develop effective quantitative tools for risk management of palladium assets at this moment. In this paper, we investigate five different types of widely-used statistical distributions and employ the industry standard risk measurement, Value at Risk, for risk management of daily palladium spot returns. We first apply four different criteria to compare the goodness of fit of the five distributions, and then calculate the VaRs based on the parameters estimated from the first step. Our results indicate the Skewed t distribution has the best insample fitting and generate VaR values closest to the nonparametric historical VaR values.

References

19 Cites in Article

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Jianhua Ding. 2018. \u201cFat Tails Value at Risk and the Palladium Returns\u201d. Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 18 (GJMBR Volume 18 Issue B3).

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GJMBR Volume 18 Issue B3

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

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Classification

GJMBR-B Classification JEL Code: C46; C58; G10

Submission ReceivedDecember 16, 2017
Peer Review Double Blind
Handling Editor
Accepted January 2, 2018
Published January 15, 2018

Version of record

v1.2

Issue date

May 18, 2018

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Article Matrices

Total Score: 133

Country: China

Subject: Global Journal of Management and Business Research - B: Economic & Commerce

Authors: Turen Guo, Jianhua Ding, Bin Guo (PhD/Dr. count: 0)

View Count (all-time): 173

Total Views (Real + Logic): 3143

Total Downloads (simulated): 1667

Publish Date: 2018 05, Fri

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Total Views: 3143

Total Downloads: 1667

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