Estimated CVaR under the Asymmetric Laplace Distribution
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094954" target="_blank" >RIV/61989100:27510/15:86094954 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Estimated CVaR under the Asymmetric Laplace Distribution
Original language description
Risk management has been an integral part of corporate finance and financial institution a long time. In the past few years, the growth of financial market and trading activities has prompted new studies investigating reliable risk measurement techniques. The most popular measures of risk are Value ta Risk (VaR) and Conditional value at risk (CVaR). The concept VaR suffers problem when the return and loses are not normally distributed which is often the case. Thus using the statistics of normal distribution to characterize the financial market is potentially very hazardous. Since Laplace distribution can account for leptokurtic and skewed data, they are natural candidates to replace normal models and processes. The aim of paper is determined optimal portfolio where Conditional Value at Risk under the Laplace distribution is minimal.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Financial Management of Firms and Financial Institutions : 10th international scientific conference : 7th - 8th September 2015, Ostrava, Czech Republic : proceedings. [Part I - IV]
ISBN
978-80-248-3865-6
ISSN
2336-162X
e-ISSN
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Number of pages
7
Pages from-to
1432-1438
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 7, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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