- Article
On the Conditional Value at Risk Based on the Laplace Distribution with Application in GARCH Model
- Malik Zaka Ullah,
- Fouad Othman Mallawi,
- Mir Asma and
- Stanford Shateyi
In this article, the Laplace distribution is employed in lieu of the well-known normal distribution for finding better scalar values of risk. Explicit formulas for value-at-risk (VaR) and conditional value-at-risk (CVaR) are studied and used to manag...

