Title: | S&P 500 and cryptocurrency market risk measured by standard deviation, var and cvar: a comparison study |
Authors: | Málek, Jiří van Quang, Tran |
Citation: | ŠLECHTOVÁ SOJKOVÁ, O. (ed.) Trendy v podnikání 2022, Plzeň 2023, s. 183-191. |
Issue Date: | 2022 |
Publisher: | Faculty of Economics University of West Bohemia |
Document type: | konferenční příspěvek conferenceObject |
URI: | http://hdl.handle.net/11025/54511 |
ISBN: | 978-80-261-1129-0 |
Keywords: | US index S&P 500;kryptoměny;normální inverzní Gaussovo rozdělení;alfa stabilní distribuce;CVaR;VaR |
Keywords in different language: | US index S&P 500;cryptocurrencies;normal inverse Gaussian distribution;alpha stable distribution;CVaR;VaR |
Abstract in different language: | 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. |
Rights: | © Authors of papers |
Appears in Collections: | Trendy v podnikání 2022 Trendy v podnikání 2022 |
Files in This Item:
File | Description | Size | Format | |
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SbornikPrispevkuKonference_TVP_2022_uvod.pdf | Plný text | 388,86 kB | Adobe PDF | View/Open |
SbornikPrispevkuKonference_TVP_2022-183-191.pdf | Plný text | 254,92 kB | Adobe PDF | View/Open |
Please use this identifier to cite or link to this item:
http://hdl.handle.net/11025/54511
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