Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution

作者：

Highlights：

• We improve the performance of risk measures by imposing entropic value at risk (EVaR) for the normal-Rayleigh distribution.

• Closed formulations for the EVaR under this mixture distribution for several risk levels are given.

• The risk measures of VaR, CVaR and EVaR under this mixture distribution are employed in GARCH model for risk calculating of different stocks from various markets.

摘要

•We improve the performance of risk measures by imposing entropic value at risk (EVaR) for the normal-Rayleigh distribution.•Closed formulations for the EVaR under this mixture distribution for several risk levels are given.•The risk measures of VaR, CVaR and EVaR under this mixture distribution are employed in GARCH model for risk calculating of different stocks from various markets.

论文关键词：Risk,Mixture distribution,GARCH model,Rayleigh distribution,Entropic value-at-risk (EVaR)

论文评审过程：Received 30 October 2020, Revised 12 January 2021, Accepted 20 February 2021, Available online 8 March 2021, Version of Record 8 March 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126129