Value at Risk Performance of Emerging Market Equity Portfolios During the Fed’s Tapering

2016 ◽  
pp. 191-209
Author(s):  
Mehmet Baha Karan ◽  
Ertuğrul Umut Uysal ◽  
Mustafa Kaya
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Emerging Market ◽  
Equity Portfolios

Bayesian Value at Risk Metric for Equity Portfolios

2014 ◽  
Author(s):  
Eric Hendries ◽  
Jun Huang ◽  
Rachel Li ◽  
Xiao Li ◽  
Yiyang Qi ◽  
...  
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Equity Portfolios ◽  
Risk Metric

scholarly journals Comparative analysis between global sukuk and bond indices: value-at-risk approach

2020 ◽  
Vol 11 (6) ◽  
pp. 1245-1256
Author(s):  
Rubaiyat Ahsan Bhuiyan ◽  
Maya Puspa ◽  
Buerhan Saiti ◽  
Gairuzazmi Mat Ghani
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Emerging Market ◽  
Management Tool ◽  
Bond Markets ◽  
Investment Portfolio ◽  
Financial Contracts ◽  
Content Type ◽  
Risk Approach ◽  
Bond Indices

Purpose Sukuk is an innovative financial instrument with a flexible structure based on Islamic financial contracts, unlike a bond which is based on the structure of a loan imposed with interest. With the notion that sukuk differs considerably from the conventional bonds in terms of risks related to investment, this study aims to examine whether the sukuk market is different from conventional bond markets based on the value-at-risk (VaR) approach. Design/methodology/approach The VaR of a portfolio consists of sukuk and bond indices and is undertaken to determine whether there is any reduction in the VaR amount through the inclusion of the sukuk index in the portfolio. The analysis is undertaken based on the developed and emerging market bond and sukuk indices from January 2010 to December 2015. Findings This paper examines whether the VaR of sukuk market differs from conventional bond markets by using fundamental techniques. It was observed that the VaR amount of sukuk indices is comparatively much lower than the VaR of bond indices in all the cases. Including the sukuk index with each bond index can reduce the VaR of the portfolio by around 30 to 50 per cent for all the developed and emerging market bond indices. Research limitations/implications This research is limited to covering six years of data. Nonetheless, it is able to provide findings which are believed to be useful for the market players. Practical implications This study unveils attractive opportunities in terms of diversification benefits of sukuk indices for international fixed-income portfolios. Originality/value The VaR method is a useful risk management tool. This study uses this method to emphasise the significant reduction of risks and diversification benefits that sukuk investment could offer by including it in the investment portfolio.

scholarly journals Extreme value theory in emerging markets: Evidence from the Montenegrin stock exchange

2015 ◽  
Vol 60 (206) ◽  
pp. 87-116 ◽  
Author(s):  
Julija Cerovic ◽  
Vesna Karadzic
Keyword(s):  
At Risk ◽  
Stock Market ◽  
Extreme Value Theory ◽  
Value At Risk ◽  
Emerging Market ◽  
Value Theory ◽  
Extreme Value ◽  
Peaks Over Threshold ◽  
Threshold Method ◽  
Block Maxima

The concept of Value at Risk(VaR) estimates the maximum loss of a financial position at a given time for a given probability. This paper considers the adequacy of the methods that are the basis of extreme value theory in the Montenegrin emerging market before and during the global financial crisis. In particular, the purpose of the paper is to investigate whether the peaks-over-threshold method outperforms the block maxima method in evaluation of Value at Risk in emerging stock markets such as the Montenegrin market. The daily return of the Montenegrin stock market index MONEX20 is analyzed for the period January 2004 - February 2014. Results of the Kupiec test show that the peaks-over-threshold method is significantly better than the block maxima method, but both methods fail to pass the Christoffersen independence test and joint test due to the lack of accuracy in exception clustering when measuring Value at Risk. Although better, the peaks-over-threshold method still cannot be treated as an accurate VaR model for the Montenegrin frontier stock market.

scholarly journals VAR AND THE CROSS-SECTION OF EXPECTED STOCK RETURNS: AN EMERGING MARKET EVIDENCE

2014 ◽  
Vol 15 (3) ◽  
pp. 441-459 ◽  
Author(s):  
Dar-Hsin Chen ◽  
Chun-Da Chen ◽  
Su-Chen Wu
Keyword(s):  
At Risk ◽  
Risk Factor ◽  
Stock Market ◽  
Stock Returns ◽  
Value At Risk ◽  
Emerging Market ◽  
Explanatory Power ◽  
Cross Sectional ◽  
Expected Stock Returns ◽  
The Cross

In this paper we investigate the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in a less developed stock market – Taiwan's stock market. The main purpose is to examine whether the Value-at-Risk factor has marginal explanatory power related to the Fama-French three-factor model. The empirical results show that Value-at-Risk can account for the average stock returns at both 1% and 5% significance levels based on cross-sectional regression analysis. Moreover, from the perspective of the time series regression, the Value-at-Risk factor can also demonstrate the variation of the stock market, especially for the larger companies in the Taiwan stock market.

Evaluation of Value at Risk in Emerging Markets

GIS Business ◽  
2017 ◽  
Vol 12 (4) ◽  
pp. 10-19
Author(s):  
Siva Kiran Guptha
Keyword(s):  
At Risk ◽  
Emerging Markets ◽  
Value At Risk ◽  
Emerging Market ◽  
Policy Makers ◽  
Historical Simulation ◽  
Developed Markets ◽  
Back Testing ◽  
Testing Experiment ◽  
India And China

Financial institutions have witnessed numerous episodes of financial crises all over the world during the last four decades. The researchers, academicians and policy makers in the field of finance studied these episodes extensively and to mitigate the risk involved in these crises have proposed several measures in the financial literature, but Value at Risk (VaR) has emerged as a more popular risk measurement technique. Although a number of studies have been undertaken in this area of research for developed markets but very few studies have been conducted in developing and emerging market economies. This study makes an attempt to evaluate the performance of VaR in emerging markets namely Brazil, Russia, India and China by considering Historical, Monte Carlo and GARCH Simulations to calculate VaR for the period 1998 to 2015. The study found that GJRGARCH Simulation is more suitable for Brazil and China while Historical Simulation for Russian and Indian Stock Markets based on the back-testing experiment.

Value at risk models for volatile emerging markets equity portfolios

2010 ◽  
Vol 50 (4) ◽  
pp. 515-526 ◽  
Author(s):  
Dimitris N. Dimitrakopoulos ◽  
Manolis G. Kavussanos ◽  
Spyros I. Spyrou
Keyword(s):  
At Risk ◽  
Emerging Markets ◽  
Value At Risk ◽  
Risk Models ◽  
Equity Portfolios

Asset allocation and value at risk in shipping equity portfolios

2009 ◽  
Vol 36 (1) ◽  
pp. 57-78 ◽  
Author(s):  
Theodore Syriopoulos ◽  
Efthimios Roumpis
Keyword(s):  
At Risk ◽  
Asset Allocation ◽  
Value At Risk ◽  
Equity Portfolios

scholarly journals Value-at-Risk and Expected Stock Returns: Evidence from Pakistan

2014 ◽  
Vol 19 (2) ◽  
pp. 71-100 ◽  
Author(s):  
Javed Iqbal ◽  
Sara Azher
Keyword(s):  
At Risk ◽  
Stock Returns ◽  
Value At Risk ◽  
Emerging Market ◽  
Explanatory Power ◽  
Expected Returns ◽  
Empirical Performance ◽  
Expected Stock Returns ◽  
Time Series Approach ◽  
Market Factors

This study investigates whether exposure to downside risk, as measured by value-at-risk (VaR), explains expected returns in an emerging market, i.e., Pakistan. We find that portfolios with a higher VaR are associated with higher average returns. In order to explore the empirical performance of VaR at the portfolio level, we use a time series approach based on 25 size and book-to-market portfolios. Based on monthly portfolio data for October 1992 to June 2008, the results show that VaR has greater explanatory power than the market, size, and book-to-market factors.

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