Wykorzystanie rozkładu t-studenta do szacowania wartości zagrożonej
Using the student’s t distribution in value-at-risk estimation

Summary/Abstract: The multivariate normal distribution is the most common type of distribution, and is often found in financial market analysis. Given enough observations within a sample size, it is reasonable to make the assumption that returns follow a normally distributed pattern, but this assumption can be disproved. The Student’s t distribution is probably the most commonly used fat-tailed distribution as a model for asset returns. Student’s t densities are more peaked around the centre and have fatter tails. In this paper, the author presents a comparison between parametric VaR models which assume the distribution of t-Student and models based on the normal distribution.

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