Value at Risk of Distributions between normal and student t density estimation of portfolio

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86087226" target="_blank" >RIV/61989100:27510/12:86087226 - 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

Value at Risk of Distributions between normal and student t density estimation of portfolio

Original language description

VaR is important method for both financial mathematics and financial risk management. It is a kind of risk measurement of the risk of loss on financial assets? portfolio, based on probability. In the probability theory, probability distribution is a function that describes the probability of random variable taking certain values. In this paper, it will show the estimate VaR under different probability distributions between student distribution and normal distribution.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

ECON '12

ISSN

1803-3865

e-ISSN

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Volume of the periodical

22

Issue of the periodical within the volume

2

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

7

Pages from-to

82-88

UT code for WoS article

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EID of the result in the Scopus database

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