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
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

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