[Zpět na domácí stránku časopisu]
Back to homepage of journal

AAK - Acta academica karviniensia

číslo 2016/2
DETERMINATION OF VALUE AT RISK AND CONDITIONAL VALUE AT RISK BY ASSUMING ELLIPTICAL DISTRIBITION
[Stanovení Value at Risk a Conditional Value at Risk za předpokladu eliptických rozdělení pravděpodobnosti]
ISSN:
1212-415X (Print)
2533-7610 (Online)
Year [Rok]:
2016
Volume [Ročník]:
XVI
Issue [Číslo]:
2
Authors [Autoři]:
Kateřina Zelinková, Aleš Kresta
Abstract [Abstrakt]:
The importance of risk management is nowadays one of the most important activities of financial institutions. One of the most commonly used methods for measuring and managing market risk is the indicator of Value at Risk (the minimum predicted loss for given significant level and time horizon) and Conditional Value at Risk (the average of expected losses that exceed the value of the Value at Risk). The aim of submitted article is the estimation of Value at Risk and Conditional Value at Risk for given shares of stock’s portfolio assuming elliptical distribution of probability. Significant level is determined for 15 %, 10 %, 5%, 1% and 0.5 % for time horizon one day. Firstly, fitting probability of time series will be estimated. It can be assumed that the least appropriate type of distribution for the time series will be the normal distribution. Next, VaR and CVaR will be calculated for all given probability distribution. Due to the fact that it is assumed that empirical time series and portfolio time series will correspond to either Student or Laplace distribution then the most appropriate model for estimating VaR and CVaR will be these two distributions.
Keywords [Klíčová slova]:
Conditional Value at Risk, Elliptical distribution, Laplace distribution, Student distribution, Value at Risk
JEL classification [JEL klasifikace]:
G11, G24
Page range [Rozpětí stran]:
95 - 105
Full version [Plná verze]: