Zatul Karamah Ahmad Baharul-Ulum and Ismail Ahmad and Norhana binti Salamudin (2012) Assessing the accuracy of risk models in the Malaysian market. Asian Journal of Business and Management Sciences, 1 (7). pp. 48-59. ISSN 2047-2528
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Abstract
This paper presents Value-at-Risk (VaR) models that are integrated with several volatility representations to estimate the market risk for the Malaysian non-financial sectors data. The models are used to obtain daily volatility forecasts and these volatilities are used to estimate the Value-at-Risk (VaR) for each sector based on the Monte Carlo Simulation (MCS) approach. In a sample over the years from 1993 until 2010 for three non-financial sectors sample namely Industrial Product (INP), Property (PRP) and Trade and Services (TAS) sectors, the expected maximum losses were quantified at 95% confidence level. Several accuracy tests namely the Kupiec, Christoffersen and Lopez tests are conducted to complement the estimates. The final results provide evidence that consideration of fat-tails and asymmetries are crucial issues when deciding to estimate VaR in managing financial risk.
| Item Type: | Article |
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| Keyword: | Value-at-Risk, volatility modelling, accuracy test |
| Subjects: | H Social Sciences > HB Economic theory. Demography |
| Depositing User: | SITI AZIZAH BINTI IDRIS - |
| Date Deposited: | 21 Oct 2013 13:28 |
| Last Modified: | 11 Oct 2017 15:06 |
| URI: | https://eprints.ums.edu.my/id/eprint/7287 |
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