Název:	S&P 500 and cryptocurrency market risk measured by standard deviation, var and cvar: a comparison study
Autoři:	Málek, Jiří van Quang, Tran
Citace zdrojového dokumentu:	ŠLECHTOVÁ SOJKOVÁ, O. (ed.) Trendy v podnikání 2022, Plzeň 2023, s. 183-191.
Datum vydání:	2022
Nakladatel:	Faculty of Economics University of West Bohemia
Typ dokumentu:	konferenční příspěvek conferenceObject
URI:	http://hdl.handle.net/11025/54511
ISBN:	978-80-261-1129-0
Klíčová slova:	US index S&P 500;kryptoměny;normální inverzní Gaussovo rozdělení;alfa stabilní distribuce;CVaR;VaR
Klíčová slova v dalším jazyce:	US index S&P 500;cryptocurrencies;normal inverse Gaussian distribution;alpha stable distribution;CVaR;VaR
Abstrakt v dalším jazyce:	VaR and CVaR are effective quantitative measurements 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 the US stock market index S&P 500 and cryptocurrencies bitcoin and ripple. The returns of these three instruments are approximated using normal inverse Gaussian distribution and alpha stable distribution. For comparison, the normal distribution is also included. Subsequently, the VaR99 and CVaR97.5 values corresponding to four candidate distributions are calculated for these instruments. We also analyze the ability of theoretical distributions to approximate the left tail behavior of stock market index 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 VaR99 which may require higher need for economic capital which banks should allocate.
Práva:	© Authors of papers
Vyskytuje se v kolekcích:	Trendy v podnikání 2022 Trendy v podnikání 2022

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