Managing the Risk via the Chi-Squared Distribution in VaR and CVaR with the Use in Generalized Autoregressive Conditional Heteroskedasticity Model

This paper develops a framework for quantifying risk by integrating analytical derivations of Value at Risk (VaR) and Conditional VaR (CVaR) under the chi-squared distribution with empirical modeling via Generalized Autoregressive Conditional Heteroskedasticity (GARCH) processes. We first establish...

Whakaahuatanga katoa

Ngā taipitopito rārangi puna kōrero

Ngā kaituhi matua:	Fazlollah Soleymani, Qiang Ma, Tao Liu
Hōputu:	Artigo
Reo:	Inglês
I whakaputaina:	MDPI AG 2025-04-01
Rangatū:	Mathematics
Ngā marau:	chi-squared distribution CVaR risk GARCH confidence level
Urunga tuihono:	https://www.mdpi.com/2227-7390/13/9/1410
Ngā Tūtohu:	Tāpirihia he Tūtohu Kāore He Tūtohu, Me noho koe te mea tuatahi ki te tūtohu i tēnei pūkete!