On the conditional value at risk based on the laplace distribution with application in GARCH model

Authors

• Malik Zaka Ullah
• Fouad Othman Mallawi
• Mir Asma
• Stanford Shateyi

Document Type

Article

Publication Date

8-1-2022

Abstract

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.

Keywords

Risk measure, Stock market, Laplace distribution, Non-normality, Fat-tail

Publication Title

Mathematics

Recommended Citation

Ullah, Malik Zaka; Mallawi, Fouad Othman; Asma, Mir; and Shateyi, Stanford, "On the conditional value at risk based on the laplace distribution with application in GARCH model" (2022). Research Publications (2021 to 2025). 867.
https://knova.um.edu.my/research_publications_2021_2025/867

Funders

Ministry of Education,Deanship of Scientific Research (DSR), King Abdulaziz University (KAU), Jeddah, Saudi Arabia [IFPDP-253-22]

Volume

10

Issue

16

Publisher

MDPI

Publisher Location

ST ALBAN-ANLAGE 66, CH-4052 BASEL, SWITZERLAND