Estimation of Market Risk Indices under g-h distribution

Abstract

Because the market risk of an investment depends on its risk factors, the assumption about the behavior of risk factors affects the market risk measurement. It is generally assumed that the profit rate of a risk factor follows the normal distribution, but it is also well known that this assumption is not supported by the facts in the past in many cases. How to find an assumption about the distribution of an risk factor which fit pass factors is an important issue for the estimation of market risk. This study will propose a method to find such a distribution by using the g-h distribution, and estimate the market risk of an investment using the distribution obtained.