Cass Knowledge

This article develops a new methodology for estimating the risk neutral density implied by American type futures options. The methodology employed uses an Edgeworth series expansion parameterization for the probability distribution of asset returns.

Christoffersen and Goncalves (2005) study the effect of parameter estimation error in computing Value at Risk and Expected Shortfall through commonly used methods including the Cornish-Fisher/Gram-Charlier approximations approach.

This paper compares a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies.

This article is concerned with the systematic exposures of equity hedge fund managers.