Stock market risk measured by VaR nad CVaR: A comparison study

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dc.contributor.authorMálek, Jiří
dc.contributor.authorvan Quang, Tran
dc.date.accessioned2021-01-18T11:16:45Z
dc.date.available2021-01-18T11:16:45Z
dc.date.issued2020
dc.description.abstract-translatedVaR and CVaR are effective quantitative measurement of market risk. These measures can quantify the risk of unexpected changes within a given period. In this paper, we examine the market risk of four stock indices: the Czech PX, the Austrian ATX, the London FTSE, and the American S&P 500. First, the returns of these indices are approximated using two distributions showing semi-heavy tails: a t- distribution and a normal inverse Gaussian distribution. For comparison, the normal and empirical distributions are also included since they often work as convenient alternatives. Subsequently, the VaR99 and CVaR97.5 values corresponding to four candidate distributions are calculated for each index. We also analyze the ability of theoretical distribution to approximate the left tail behavior of stock market indices returns. It turns out that the normal distribution is not suitable for this purpose. Furthermore, it appears that CVaR97.5 is higher (in absolute value) for all indices than the corresponding VaR 99, which may require higher need for economic capital, which banks should allocate.en
dc.format8 s.cs
dc.format.mimetypeapplication/pdf
dc.identifier.citationTrendy v podnikání = Business trends : vědecký časopis Fakulty ekonomické ZČU v Plzni. 2020, roč. 10, č. 4, s. 41-48.cs
dc.identifier.doihttps://doi.org/10.24132/jbt.2020.10.4.41_48
dc.identifier.issn1805-0603
dc.identifier.urihttp://hdl.handle.net/11025/42504
dc.language.isoenen
dc.publisherZápadočeská univerzita v Plznics
dc.rights© Západočeská univerzita v Plznics
dc.rights.accessopenAccessen
dc.subjectakciové indexycs
dc.subjectt-distribucecs
dc.subjectnormální inverzní rozdělenícs
dc.subjectinverzní Gaussovo rozdělenícs
dc.subjectVaRcs
dc.subjectCVaRcs
dc.subjecthodnota v rizikucs
dc.subjectpodmíněná hodnota v rizikucs
dc.subject.translatedstock market indicesen
dc.subject.translatedt-distributionen
dc.subject.translatednormal inverse Gaussian distributionen
dc.subject.translatedVaRen
dc.subject.translatedCVaRen
dc.subject.translatedvalue at risken
dc.subject.translatedConditional Value at Risken
dc.titleStock market risk measured by VaR nad CVaR: A comparison studyen
dc.typečlánekcs
dc.typearticleen
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen

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Číslo 4 (2020)
Číslo 4 (2020)