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On the Conditional Value at Risk Based on the Laplace Distribution with Application in GARCH Model
Journal article   Open access  Peer reviewed

On the Conditional Value at Risk Based on the Laplace Distribution with Application in GARCH Model

Malik Zaka Ullah, Fouad Othman Mallawi, Mir Asma and Stanford Shateyi
Mathematics (Basel), Vol.10(16), p.3018
01/08/2022
DOI: https://doi.org/10.3390/math10163018

Abstract

Mathematics Physical Sciences Science & Technology
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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https://doi.org/10.3390/math10163018View
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