On the conditional value at risk based on the laplace distribution with application in GARCH model

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...

Full description

Saved in:
Bibliographic Details
Main Authors: Ullah, Malik Zaka, Mallawi, Fouad Othman, Asma, Mir, Shateyi, Stanford
Format: Article
Published: MDPI 2022
Subjects:
QA Mathematics
Online Access:http://eprints.um.edu.my/41403/
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Universiti Malaya
id my.um.eprints.41403
record_format eprints
spelling 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
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
topic QA Mathematics
spellingShingle 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
description 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.
format Article
author Ullah, Malik Zaka
Mallawi, Fouad Othman
Asma, Mir
Shateyi, Stanford
author_facet Ullah, Malik Zaka
Mallawi, Fouad Othman
Asma, Mir
Shateyi, Stanford
author_sort 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
publisher MDPI
publishDate 2022
url http://eprints.um.edu.my/41403/
_version_ 1778161667969908736

Similar Items