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.
Full text not available from this repository.Abstract
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.
| Item Type: | Article |
|---|---|
| Funders: | Ministry of Education, Deanship of Scientific Research (DSR), King Abdulaziz University (KAU), Jeddah, Saudi Arabia [IFPDP-253-22] |
| Uncontrolled Keywords: | Risk measure; Stock market; Laplace distribution; Non-normality; Fat-tail |
| Subjects: | Q Science > QA Mathematics |
| Depositing User: | Ms. Juhaida Abd Rahim |
| Date Deposited: | 21 Sep 2023 08:38 |
| Last Modified: | 21 Sep 2023 08:38 |
| URI: | http://eprints.um.edu.my/id/eprint/41403 |
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