About: Application of methodology Value at Risk for market risk with normal mixture distribution

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Description	Conditional Value at Risk (CVaR) has been proposed as an alternative, almost coherent, risk measure to Value at Risk (VaR), as it considers expected loss beyond VaR. This paper deals with estimating Value at Risk and conditional Value at Risk under the assumption of mixture normal distribution. We apply mixture normal distribution by assuming that the economy is in various phases of the business cycle. We determinate the both risk measures for market risk, daily returns of popular indices (DAX, CAC, Nikkei and FTSE) over ten years. In the first part, we describe meth-odology VaR and CVaR and techniques of estimating parameters of probability distributions are presented, i.e. general method of moments and maximum likelihood. Finally, we compare all estimates with each other. Conditional Value at Risk (CVaR) has been proposed as an alternative, almost coherent, risk measure to Value at Risk (VaR), as it considers expected loss beyond VaR. This paper deals with estimating Value at Risk and conditional Value at Risk under the assumption of mixture normal distribution. We apply mixture normal distribution by assuming that the economy is in various phases of the business cycle. We determinate the both risk measures for market risk, daily returns of popular indices (DAX, CAC, Nikkei and FTSE) over ten years. In the first part, we describe meth-odology VaR and CVaR and techniques of estimating parameters of probability distributions are presented, i.e. general method of moments and maximum likelihood. Finally, we compare all estimates with each other. (en)
Title	Application of methodology Value at Risk for market risk with normal mixture distribution Application of methodology Value at Risk for market risk with normal mixture distribution (en)
skos:prefLabel	Application of methodology Value at Risk for market risk with normal mixture distribution Application of methodology Value at Risk for market risk with normal mixture distribution (en)
skos:notation	RIV/61989100:27510/12:86082888!RIV14-MSM-27510___
http://linked.open...avai/predkladatel	Ekonomická fakulta
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Zelinková, Kateřina
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	123344
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/12:86082888
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	mixture distribution, EM algorithm, method of moments, Value at Risk (en)
http://linked.open.../riv/klicoveSlovo	mixture distribution Value at Risk method of moments EM algorithm
http://linked.open...ontrolniKodProRIV	[E58968DFEF89]
http://linked.open...v/mistoKonaniAkce	Karviná
http://linked.open...i/riv/mistoVydani	Opava
http://linked.open...i/riv/nazevZdroje	Proceedings of 30th International Conference Mathematical Methods in Economics : 11-13 September 2012, Karviná, Czech Republic
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Zelinková, Kateřina
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000316715900175
http://linked.open.../riv/zahajeniAkce	2012-09-11 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slezská univerzita v Opavě
https://schema.org/isbn	978-80-7248-779-0
http://localhost/t...ganizacniJednotka	27510

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