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dc.contributor.authorMálek, Jiří
dc.contributor.authorvan Quang, Tran
dc.contributor.editorŠlechtová Sojková, Olga
dc.date.accessioned2023-10-25T09:22:09Z
dc.date.available2023-10-25T09:22:09Z
dc.date.issued2022
dc.identifier.citationŠLECHTOVÁ SOJKOVÁ, O. (ed.) Trendy v podnikání 2022, Plzeň 2023, s. 183-191.cs
dc.identifier.isbn978-80-261-1129-0
dc.identifier.urihttp://hdl.handle.net/11025/54511
dc.description.sponsorshipAuthor Jiří Málek acknowledges the financial support of Czech Science Foundation with grant Modeling the Structure and Dynamics of Energy, Commodity and Alternative Asset Prices Grant Agency of the Czech Republic. Grant number 22-19617S.en
dc.format9 s.cs
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherFaculty of Economics University of West Bohemiaen
dc.rights© Authors of papersen
dc.subjectUS index S&P 500cs
dc.subjectkryptoměnycs
dc.subjectnormální inverzní Gaussovo rozdělenícs
dc.subjectalfa stabilní distribucecs
dc.subjectCVaRcs
dc.subjectVaRcs
dc.titleS&P 500 and cryptocurrency market risk measured by standard deviation, var and cvar: a comparison studyen
dc.typekonferenční příspěvekcs
dc.typeconferenceObjecten
dc.rights.accessopenAccessen
dc.type.versionpublishedVersionen
dc.description.abstract-translatedVaR 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.en
dc.subject.translatedUS index S&P 500en
dc.subject.translatedcryptocurrenciesen
dc.subject.translatednormal inverse Gaussian distributionen
dc.subject.translatedalpha stable distributionen
dc.subject.translatedCVaRen
dc.subject.translatedVaRen
dc.type.statusPeer-revieweden
Appears in Collections:Trendy v podnikání 2022
Trendy v podnikání 2022

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