Determination of Risk Measure by Assuming Laplace Distribution
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10236779" target="_blank" >RIV/61989100:27510/17:10236779 - 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
Determination of Risk Measure by Assuming Laplace Distribution
Original language description
Traditional models of Value at Risk suppose normal distribution which are very often not supported by real-life data because of heavy tails and asymmetry present in these data. Therefore it is appropriate to use another distribution. Laplace distribution can find most interesting and successful applications is modeling of financial data. The aim of this paper is determination Value at Risk by assuming Laplace distribution for different financial time series. We will expect, that it is appropriate for shorter time series than longer time series.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2017
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 : 11th international scientific conference : 6th - 7th September 2017, Ostrava, Czech Republic : proceedings.
ISBN
978-80-248-4138-0
ISSN
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e-ISSN
2336-162X
Number of pages
7
Pages from-to
"937 – 943"
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 6, 2017
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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