Código QR (código de barras bidimensional)

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...

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Principais autores: Fazlollah Soleymani, Qiang Ma, Tao Liu
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2025-04-01
Serier:Mathematics
Fag:
chi-squared distribution
CVaR
risk
GARCH
confidence level
Online adgang:https://www.mdpi.com/2227-7390/13/9/1410
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