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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my.um.eprints.414032023-09-21T08:38:51Z http://eprints.um.edu.my/41403/ On the conditional value at risk based on the laplace distribution with application in GARCH model Ullah, Malik Zaka Mallawi, Fouad Othman Asma, Mir Shateyi, Stanford QA Mathematics 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 the GARCH model. Numerical simulations are given for a variety of stocks in equity markets to uphold the findings. MDPI 2022-08 Article PeerReviewed Ullah, Malik Zaka and Mallawi, Fouad Othman and Asma, Mir and Shateyi, Stanford (2022) On the conditional value at risk based on the laplace distribution with application in GARCH model. Mathematics, 10 (16). ISSN 2227-7390, DOI https://doi.org/10.3390/math10163018 <https://doi.org/10.3390/math10163018>. 10.3390/math10163018 |
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QA Mathematics Ullah, Malik Zaka Mallawi, Fouad Othman Asma, Mir Shateyi, Stanford On the conditional value at risk based on the laplace distribution with application in GARCH model |
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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 the GARCH model. Numerical simulations are given for a variety of stocks in equity markets to uphold the findings. |
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Article |
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Ullah, Malik Zaka Mallawi, Fouad Othman Asma, Mir Shateyi, Stanford |
author_facet |
Ullah, Malik Zaka Mallawi, Fouad Othman Asma, Mir Shateyi, Stanford |
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Ullah, Malik Zaka |
title |
On the conditional value at risk based on the laplace distribution with application in GARCH model |
title_short |
On the conditional value at risk based on the laplace distribution with application in GARCH model |
title_full |
On the conditional value at risk based on the laplace distribution with application in GARCH model |
title_fullStr |
On the conditional value at risk based on the laplace distribution with application in GARCH model |
title_full_unstemmed |
On the conditional value at risk based on the laplace distribution with application in GARCH model |
title_sort |
on the conditional value at risk based on the laplace distribution with application in garch model |
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MDPI |
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2022 |
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http://eprints.um.edu.my/41403/ |
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1778161667969908736 |