 About 5,070 results  books.google.com The CornishFisher expansion should produce a more accurate approximation.
To verify this, we will need the standardized cumulants, which are ρ3 = 2 √ 2,ρ 4
= 12. Now substituting into Theorem 13.4, we get the two term CornishFisher ... 

 books.google.com One of the major problems faced by banks is how to manage the risk exposure in large portfolios. 

 books.google.com 
 books.google.com 1974  No preview 
 books.google.com The Cornish–Fisher expansion is used to determine the percentiles of
distributions that are near normal. The actual expansion provides an adjustment
factor that can be used to adjust estimated percentiles (or variates) for non
normality, and ... 

 books.google.com This is based on the Cornish–Fisher expansion, which is used to determine the
percentiles of distributions that are ... The actual expansion provides an
adjustment factor that can be used to adjust estimated percentiles for non
normality, and ... 

 books.google.com ... discussed in more detail in Appendix III. In the remainder of this section we
prove (3.53), from which follows our claim about thirdorder correctness. We also
discuss interval length, and begin by developing a CornishFisher expansion of
wo. 

 books.google.com EXAMPLE IV.3.4: CORNISH–FISHER APPROXIMATION Find the Cornish–Fisher
approximation to the 1% quantile of an ... To calculate the Cornish–Fisher VaR
we first ignore the mean and standard deviation, and apply the expansion ... 

 books.google.com in Equations (6.47)–(6.56) of Stuart and Ord [55], we must have 9 = ; (2.37) `1 D
fEŒX0mg ı 2 D 0; `2 D fVarŒX02g ı 2 D 0 in the CornishFisher expansion of X0
given by Equation (6.56) of Stuart and Ord [55]. Solving the resulting equation for
... 

 books.google.com Figure Page 1. 95 % confidence interval on the relative percent difference from
the theoretical 0.90 quantile for an M/M/l system. Estimates were computed using
the first four terms of the CornishFisher expansion (CFEstimate) and the two ... 

 