From a risk management perspective, tail risks and return distribution asymmetries of investments are important to analyse. In this note, we describe a modelling approach that addresses some of the weaknesses of standard risk models.
Publisher
Norges Bank Investment Management
Series
Discussion note;15/2012 Diskusjonsnotat;15/2012
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal