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Keywords:
| Australia |
|
|
| CVaR |
|
|
| industry sector |
|
|
| equities |
|
|
Categories:
| VaR Methods |
|
|
| --Evaluation/Comparison |
|
|
Half-Life:
Impact:
Industry Market Value at Risk in Australia
Year Of Publication: 2007
Month Of Publication: May
Pages: 30
Download Count: 5
View Count: 1911
Comment Num: 0
Language: English
Source: working paperr
Who Can Read: Free
Date: 8-29-2011
Publisher: Administrator
Summary
This paper examines market Value at Risk (VaR) and
Conditional VaR (CVaR) in Australia from an industry perspective
using a set of Australian industries.The relative riskiness of di¤erent industry sectors is examined
and using diversi?ed VaR, the study ?nds the highest risk is in the
Technology Sectors, whilst the lowest risk is found in the Finance and
Utilities Sectors. Composite riskiness is also explored and the exis-
tence of correlation between industry risk rankings over time is found
to depend on the number of years of data used.
Conditional VaR (CVaR) in Australia from an industry perspective
using a set of Australian industries.The relative riskiness of di¤erent industry sectors is examined
and using diversi?ed VaR, the study ?nds the highest risk is in the
Technology Sectors, whilst the lowest risk is found in the Finance and
Utilities Sectors. Composite riskiness is also explored and the exis-
tence of correlation between industry risk rankings over time is found
to depend on the number of years of data used.
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