Estimarea Value at Risk în cazul distribuțiilor non-gaussinee
Estimation of Value at Risk for non-Gaussian distributions

Summary/Abstract: Generaly, financial assets yields have a non-Gaussian distribution, with a large mass in the tails and zero skewness. These properties must be taken into account for the correct determination of the Risk Value of an asset or portfolio. In this paper we have presented a methodology for estimating Value at Risk for a government bond, highlighting the differences in outcome depending on the distribution or calculation method chosen. The paper presents a back-testing and forecasting methodology that can be easily replicated on any financial asset.

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