Applying Different VaR Models to Asian Countries

• Main Authors: Ling-Chen Hsu, 許玲真
• Other Authors: 曾郁仁
• Format: Others
• Language: en_US
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/56250182408982352942

碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === 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.