Your Cart

Your cart is empty

Home  >  Volume 21 (2012)

Comparability of CTE and VAR on Normal,Two and Three Parameter Weibull Distribution On a Portfolio Market Close by Osu, Bright O and Ogwo Obiageri E Volume 21 (July, 2012), pp 79 – 84
Sale price: $5.00


The basic Question for value at risk (V_a R) is; how much can we lose on our trading portfolio by tomorrows market close or on a bad day? Or how risky is the position? This is a pure question of risk measure. There are several approaches in answering this question which one is probabilistic (or statistical) approach .This paper examines the use of other risk measures in addressing this question. A special attention is given to the use of two and three parameter Weibull in answering this question by implementing scenarios analysis to perform stress testing of Weibull conditional tail expectations (WBCTE) based risk measurement systems. We then compare behaviours of V_a R and CTE based on normal distribution and Weibull two and three parameter CTE in answering the question on a continuous and discrete distributions. Results show that WBCTE performs better than the V_a R and the CTE on normal distribution.

Keywords: VAR, CTE,  Two and Three parameter WB CTE.
 Mathematical Subject Classification: 91B30, 91G10, 91B80.