Application of methodology Value at Risk for market risk with normal mixture distribution

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86082888" target="_blank" >RIV/61989100:27510/12:86082888 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Application of methodology Value at Risk for market risk with normal mixture distribution
Original language description
Conditional Value at Risk (CVaR) has been proposed as an alternative, almost coherent, risk measure to Value at Risk (VaR), as it considers expected loss beyond VaR. This paper deals with estimating Value at Risk and conditional Value at Risk under the assumption of mixture normal distribution. We apply mixture normal distribution by assuming that the economy is in various phases of the business cycle. We determinate the both risk measures for market risk, daily returns of popular indices (DAX, CAC, Nikkei and FTSE) over ten years. In the first part, we describe meth-odology VaR and CVaR and techniques of estimating parameters of probability distributions are presented, i.e. general method of moments and maximum likelihood. Finally, we compare all estimates with each other.
Czech name
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Czech description
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Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 30th International Conference Mathematical Methods in Economics : 11-13 September 2012, Karviná, Czech Republic
ISBN
978-80-7248-779-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
1021-1026
Publisher name
Slezská univerzita v Opavě
Place of publication
Opava
Event location
Karviná
Event date
Sep 11, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000316715900175

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