scholarly journals A comparative study on value at risk versus TEFIX 30: Evidence from Tehran Stock Exchange

2015 ◽  
pp. 1067-1070 ◽  
Author(s):  
Farnoosh Pakray ◽  
Hasan Madrakian
Keyword(s):  
At Risk ◽  
Comparative Study ◽  
Value At Risk ◽  
Stock Exchange

scholarly journals Value at risk: Evidence from Pakistan Stock Exchange

2011 ◽  
Vol 5 (17) ◽  
pp. 7474-7480 ◽  
Author(s):  
Nawaz Faisal ◽  
Afzal Muhammad
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Exchange

scholarly journals Using HMM Approach for Assessing Quality of Value at Risk Estimation: Evidence from PSE Listed Company

2017 ◽  
Vol 65 (5) ◽  
pp. 1687-1694
Author(s):  
Tomáš Konderla ◽  
Václav Klepáč
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Exchange ◽  
Risk Estimation ◽  
Listed Company ◽  
Mixture Distribution ◽  
Normal Mixture ◽  
Development Characteristic ◽  
The Common

The article points out the possibilities of using Hidden Markov model (abbrev. HMM) for estimation of Value at Risk metrics (abbrev. VaR) in sample. For the illustration we use data of the company listed on Prague Stock Exchange in range from January 2011 to June 2016. HMM approach allows us to classify time series into different states based on their development characteristic. Due to a deeper shortage of existing domestic results or comparison studies with advanced volatility governed VaR forecasts we tested HMM with univariate ARMA‑GARCH model based VaR estimates. The common testing via Kupiec and Christoffersen procedures offer generalization that HMM model performs better that volatility based VaR estimation technique in terms of accuracy, even with the simpler HMM with normal‑mixture distribution against previously used GARCH with many types of non‑normal innovations.

Firm, industry and economic determinants of working capital at risk

2016 ◽  
Vol 03 (04) ◽  
pp. 1650031 ◽  
Author(s):  
Tarek Ibrahim Eldomiaty ◽  
Mohamed Hashem Rashwan ◽  
Mohamed Bahaa El Din ◽  
Waleed Tayel
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Working Capital ◽  
Short Term ◽  
Firm Level ◽  
Cash Conversion Cycle ◽  
Wide Range ◽  
Capital At Risk

Purpose: The objective of this study is to examine the relative contribution of firm-level, industry-level and country level variables to working capital at risk. Working capital at risk is treated as the value at risk for a portfolio of firm’s current assets. As far as short-term liquidity is concerned, working capital at risk, being the maximum amount that a firm may lose at a certain confidence interval, must be the most important part that a firm’s management must focus on. Design/methodology/approach: This study empirically examines the possible associations between wide range of variables and working capital at risk. The sample firms include 143 non-financial firms listed in Egypt stock exchange. The data cover the years 2000–2014. The statistical tests include the fixed and random effects, testing for linearity versus nonlinearity. The least squares dummy variables and discriminant analysis are utilized. The working capital at risk is classified into three levels: low, medium and high. Findings: The general findings of the study show that cash conversion cycle and the leverage are the most significant determinants of working capital at risk. Both determinants have significant influence on the level of volatility of working capital throughout the three categories of working capital at risk. Originality/value: This study offers a new approach that deals with working capital as a portfolio, rather than single ratios, that firm’s management must decrease its volatility (value at risk), therefore, short-term liquidity can be improved significantly. This approach can be considered a financial engineering in terms of monitoring and managing short-term liquidity exposure.

scholarly journals VALUE-AT-RISK (VaR) FOR LQ – 45 COMPANIES

2011 ◽  
Vol 3 (2) ◽  
pp. 93-108
Author(s):  
Rangga Handika
Keyword(s):  
At Risk ◽  
Standard Deviation ◽  
Normal Distribution ◽  
Analytical Methods ◽  
Value At Risk ◽  
Stock Exchange ◽  
Risk Measure ◽  
Percent Level ◽  
Level Of Confidence

This paper offers a new measurement of risk, Value-at-Risk (VaR) for LQ-45 index in Indonesian Stock Exchange (ISX). Basic finance uses standard deviation in measuring and quantifying the risks. This paper uses VaR as a risk measure by using historical and analytical methods. This study uses the data containing all LQ-45 weekly data from January 1st, 2005 to December, 31st 2010. Moreover, this paper also calculates VaR of three indices (IHSG, Dow Jones, and S&P 500) for benchmarking purpose. This study finds that LQ-45 companies have VaR ranging from -5.30 to -41.05 percent with 95 percent level of confidence. It means that we can expect to suffer a minimum weekly loss between 5.30 to 41.05 percent in 5 percent probability when we invest in the LQ-45 companies stocks individually. Furthermore, this study finds that individual LQ-45 stock is riskier than indices based on VaR measure. This paper also concludes that individual LQ-45 stock tends not to follow normal distribution while index tends to follow by comparing their historical and analytical VaR calculation.

scholarly journals An analytical method of estimating Value-at-Risk on the Belgrade Stock Exchange

2009 ◽  
Vol 54 (183) ◽  
pp. 119-138 ◽  
Author(s):  
Milica Obadovic ◽  
Mirjana Obadovic
Keyword(s):  
At Risk ◽  
Failure Rate ◽  
Confidence Level ◽  
Analytical Method ◽  
Value At Risk ◽  
Risk Evaluation ◽  
Risk Model ◽  
Stock Exchange ◽  
Confidence Levels ◽  
The Given

This paper presents market risk evaluation for a portfolio consisting of shares that are continuously traded on the Belgrade Stock Exchange, by applying the Value-at-Risk model - the analytical method. It describes the manner of analytical method application and compares the results obtained by implementing this method at different confidence levels. Method verification was carried out on the basis of the failure rate that demonstrated the confidence level for which this method was acceptable in view of the given conditions.

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