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

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

1021-1026

Název nakladatele

Slezská univerzita v Opavě

Místo vydání

Opava

Místo konání akce

Karviná

Datum konání akce

11. 9. 2012

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000316715900175