On the conditional value at risk based on the laplace distribution with application in GARCH model
In this article, the Laplace distribution is employed in lieu of the well-known normal distribution for finding better scalar values of risk. Explicit formulas for value-at-risk (VaR) and conditional value-at-risk (CVaR) are studied and used to manage the risk involved in a stock movement by using t...
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| Main Authors: | , , , |
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| Format: | Article |
| Published: |
MDPI
2022
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/41403/ |
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| Institution: | Universiti Malaya |