medium · FRM Part 2 Market Risk
A risk manager is using the Cornish-Fisher expansion to adjust a 99% VaR estimate for non-normality.
If the returns have a skewness of -0.6 and an excess kurtosis of 2.0, how will the adjusted z-score (q_CF) compare to the normal z-score (2.326)?
- q_CF will be exactly 2.326 × (1 + skewness).
- q_CF will be significantly larger than 2.326.
- q_CF will remain exactly 2.326.
- q_CF will be smaller than 2.326.
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