medium · FRM Part 2 Market Risk
In the context of the Cornish-Fisher expansion, how do negative skewness and positive excess kurtosis typically affect the 99% VaR estimate compared to a normal distribution?
- Negative skewness increases VaR, but positive kurtosis decreases it
- They have no effect on VaR because VaR only depends on variance
- They both increase the VaR estimate
- They both decrease the VaR estimate as they represent diversification
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