Abstract:This paper analyses a Skewed t Distribution approach to estimate Value at Risk (VaR) as a tool that can measure a risk investment. The method can estimate an investment risk that can overcome the shortcoming of classical VaR, which cannot capture the existence of fat tail and skewness. The application of the method was utilized to evaluate the individual risk of four stocks taken from the NYSE Index, namely Advance Micro Devices Inc (AMD), The Coca-Cola Company (KO), Pfizer Inc. (PFE), and Walmart Inc (WMT). I… Show more
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