Title :
Value-at-risk and conditional Value-at-risk estimation: A comparative study of risk performance for selected Malaysian sectoral indices
Author :
Thim, C.K. ; Nourani, M. ; Choong, Y.V.
Author_Institution :
Fac. of Manage., Multimedia Univ., Cyberjaya, Malaysia
Abstract :
Value-at-risk (VaR) has taken an important place in risk management since its acceptance as the main risk metric by Basel Committee on Banking Supervision (BCBS). Recently, BCBS announced the emphasis of implementing Conditional VaR (CVaR) in market risk assessment. While VaR measures the maximum loss in a given confidence level and period, CVaR gauges the amount of loss that exceed VaR in a given confidence level. Measuring industry risk is one of the crucial tasks for banks and other investors in order to manage their risks. This paper analyzes VaR and CVaR in the context of Malaysian industries. We compare industries with a selected benchmark. The results show that Technology has the highest risk and Consumer Product has the lowest risk.
Keywords :
banking; risk management; BCBS; Basel committee on banking supervision; CVaR; Malaysian industries; Malaysian sectoral indices; conditional value-at-risk estimation; consumer product; industry risk; market risk assessment; risk metric; risk performance; Benchmark testing; Industries; Loss measurement; Portfolios; Reactive power; Risk management; Standards; Benchmark VaR; Conditional Value-at-risk; Industry level; Risk performance; Tracking Error; Value-at-Risk;
Conference_Titel :
Statistics in Science, Business, and Engineering (ICSSBE), 2012 International Conference on
Conference_Location :
Langkawi
Print_ISBN :
978-1-4673-1581-4
DOI :
10.1109/ICSSBE.2012.6396561
