An Analysis of Stress Testing For Asian Stock Portfolios.

Brian Edward Dollery and Shen Wang and Chong Mun Ho (2005) An Analysis of Stress Testing For Asian Stock Portfolios. The IUP Journal of Applied Economics, ICFAI Press. pp. 1-26. ISSN 1442 - 2980

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Abstract

While extreme asset price movements are a common feature of the global financial system, recent financial crises have witnessed an increase in the use of serious stress testing in risk management. This paper examines the performance of a bivariate normal distribution model and a bivariate mixture of two normal distributions model in the institutional context of five Asian stock markets, namely Bangkok, Hong Kong, Seoul, Taipei and Tokyo. To assess the performance of the two models, the data from the five stock markets for the period 4 January 1990 to 28 February 1998 are employed. The results show that the bivariate normal distribution model outperforms the bivariate mixture of two normal distributions model. This seems to suggest that the latter model can more precisely capture the fat-tailed property of left and right tails in return distributions.

Item Type:	Article
Keyword:	Stress Testing; Bivariate Normal Distribution Model; Bivariate Mixture of Two Normal Distributions Model; Backtesting.
Subjects:	H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG6001-6051 Speculation Q Science > QA Mathematics > QA1-939 Mathematics > QA71-90 Instruments and machines > QA75.5-76.95 Electronic computers. Computer science > QA76.75-76.765 Computer software
Department:	FACULTY > Faculty of Science and Natural Resources
Depositing User:	ABDULLAH BIN SABUDIN -
Date Deposited:	02 Apr 2019 09:06
Last Modified:	25 Jan 2024 16:01
URI:	https://eprints.ums.edu.my/id/eprint/21721

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