Abstract
We describe an algorithm to fit an SU -Curve of the Johnson system by moment matching. The algorithm follows from a new parametrization, and reduces the problem to a root finding procedure that can be implemented efficiently using a bisection or a Newton-Raphson method. This allows the four parameters of the Johnson curve to be determined to any desired degree of accuracy, and is fast enough to be implemented in a real-time setting. A practical application of the method lies in the fact that many firms use the Johnson system to manage financial risk
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