scholarly journals Evolution of Equity Market Risk During the Crisis: Europe, Americas and Asia

2012 ◽  
Vol 5 (1) ◽  
pp. 25-40
Author(s):  
Patrizia Stucchi ◽  
Giorgio Dominese
Keyword(s):  
Equity Market ◽  
Market Risk

Hedging Equity Market Risk in Hedge Fund Investing: A New Approach

CFA Digest ◽  
2012 ◽  
Vol 42 (1) ◽  
pp. 9-11
Author(s):  
Keith Joseph MacIsaac
Keyword(s):  
Hedge Fund ◽  
Equity Market ◽  
Market Risk ◽  
New Approach

Equity Market Risk Premium Used in 56 Countries in 2011: A Survey with 6,014 Answers

2011 ◽  
Author(s):  
Pablo Fernandez ◽  
Javier Aguirreamalloa ◽  
Luis Corres Avendaño
Keyword(s):  
Risk Premium ◽  
Equity Market ◽  
Market Risk ◽  
Market Risk Premium

Evolution of Equity Market Risk During the Crisis: Europe, Americas and Asia

2012 ◽  
Vol 19 (2) ◽  
pp. 163-178
Author(s):  
Patrizia Stucchi ◽  
Giorgio Dominese
Keyword(s):  
Equity Market ◽  
Market Risk

scholarly journals Value-at-Risk Estimation of Equity Market Risk in India

2021 ◽  
Vol 9 (1) ◽  
pp. 1-24
Author(s):  
Jitender
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Exchange ◽  
Risk Estimation ◽  
Moving Average ◽  
Equity Market ◽  
Market Risk ◽  
Financial Instrument ◽  
Historical Simulation ◽  
Distributed Models

Abstract The value-at-risk (Va) method in market risk management is becoming a benchmark for measuring “market risk” for any financial instrument. The present study aims at examining which VaR model best describes the risk arising out of the Indian equity market (Bombay Stock Exchange (BSE) Sensex). Using data from 2006 to 2015, the VaR figures associated with parametric (variance–covariance, Exponentially Weighted Moving Average, Generalized Autoregressive Conditional Heteroskedasticity) and non-parametric (historical simulation and Monte Carlo simulation) methods have been calculated. The study concludes that VaR models based on the assumption of normality underestimate the risk when returns are non-normally distributed. Models that capture fat-tailed behaviour of financial returns (historical simulation) are better able to capture the risk arising out of the financial instrument.

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