Estimated CVaR under the Asymmetric Laplace Distribution

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Estimated CVaR under the Asymmetric Laplace Distribution

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Estimated CVaR under the Asymmetric Laplace Distribution

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

—

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

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

—

Počet stran výsledku

7

Strana od-do

1432-1438

Název nakladatele

VŠB - Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

7. 9. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

—