evaluation the value at risk using the skew t-student distribution

the statistical distribution is one of the important aspects in risk management. value at risk (var) is a statistical technique used to measure and quantify the level of financial risk within a firm or investment portfolio over a specific time frame. shortcoming of statistical distribution can results in incorrect estimation of risk and lead to serious mismanagement of risk. heavy-tail distribution can be considered for financial data well. the t-student is one of the heavy-tail distributions but it has not the skewness properties because it is symmetrical about zero. in this article, we consider the skew extension to the t-student distribution, namely skew t distribution (std) which can be used for modeling the financial data. we apply the std to the evaluation of the tehran stock exchange data in value-at-risk framework. finally, the backtesting method is used to validate the var model.