Applying Different VaR Models to Asian Countries
Date Issued
2006
Date
2006
Author(s)
Hsu, Ling-Chen
DOI
en-US
Abstract
Although Value at Risk (VaR) has been broadly welcomed by financial market participants as a risk management tool, some of its assumptions are widely criticized in the academic literatures. Conditional-VaR (CVaR) is a risk measure intended to capture the fat-tail phenomenon of the distribution of asset returns which is not incorporated by traditional VaR measures. This study adopts two widely used approaches, the parametric approach and the historical simulation approach, to calculate VaR and CVaR measures and make comparisons among these measures and approaches. Using historical data for ten Asian equity markets, this study found that (1) the historical simulation approach has different risk ranking results from parametric approach, and the degree to difference is related to price stability; (2) when lower confidence level is selected, different VaR models yielded a greater difference in risk ranking results among countries, (3) VaR and CVaR give different ranking order results especially during periods of financial turmoil.
Subjects
風險值
條件風險值
亞洲金融風暴
歷史模擬法
變異數共變異數法
VaR
Conditional VaR
Asian Crisis
Historical Simulation
Parametric
Type
thesis
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