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The importance of being normal

Author:
Stephen Carlin; Andrew Smith
Source:
Finance and Investment Conference 2003
Publication date:
23 June 2003
File:
PDF 315.88 KB
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Document description

Analysts have used a variety of statistical distributions to model losses due to operational risks or insurance claims. In contrast, the normal distribution is the undisputed queen of capital market models. This paper examines an alternative family of distributions, the conic moment family, for application to capital market models.