SHS Web Conf.
Volume 91, 2021Innovative Economic Symposium 2020 – Stable Development in Unstable World (IES2020)
|Number of page(s)||8|
|Section||Stable Development in Unstable World|
|Published online||14 January 2021|
Normality and Its Verification as a Basic Prerequisite for the Application of VaR
University of Zilina, Department of Economics, Zilina, Slovakia
* Corresponding author: firstname.lastname@example.org
If we start to deal with the topics of investing or trading in the financial markets, sooner or later we will encounter the topic of risk. Risk is one of the basic input variables in assessing the suitability and profitability of an investment and therefore there are a number of procedures and methods for its quantification. In our article, we address the issue of portfolio risk quantification through the VaR method and verification of its basic assumption, namely the normal distribution of values. The aim of the article is to compile an overview of procedures and methods for verifying the normal distribution and compare their specifics. In the first chapter of our paper, we focused on the definition of risk, its types. The second chapter focuses on methods of risk quantification and description of individual methods. In the third chapter, we will describe in detail the possibilities of verifying the normality of the distribution of values. In the last chapter, we will briefly interpret the information obtained and identified the advantages, disadvantages and other specifics of individual methods of verifying the normal distribution. We consider the aim of the article to be fulfilled and we believe that it will be a valuable contribution in this area of research.
Key words: normality / normal distribution / Value at Risk / risk quantification
© The Authors, published by EDP Sciences, 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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