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Medium · risk_management · Quant Researcher interview question · cornish_fisher, var, value_at_risk, skewness, kurtosis, risk_management
The standard Gaussian Value-at-Risk (VaR) model often fails because financial returns are not normally distributed. The Cornish-Fisher expansion provides a more accurate parametric VaR by adjusting the normal quantile for the sample skewness and excess kurtosis of a return series. This method is widely used in risk management to better capture tail risk in portfolios. Task Implement the function cornish_fisher_var(returns: list, confidence: float) -> float to compute the one-period parametric V