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Value-at-Risk: Evidence from Pakistan Stock Exchange
Company: African Journal of Business Management
Company Url: Click here to open
Year Of Publication: 2011
Month Of Publication: September
Pages: 7474-7480
Download Count: 3
View Count: 1524
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 9-11-2011
Publisher: Administrator
Summary
The impetus of this work comes from the October 2008 crisis, termed Tsunami of the Financial Markets, which stems from a small problem in US real estate market. It has been observed that this type of events occurs once in a century. To the Green Span, ex-chief of the US Fed, the financial models that have been trusted in the past rendered absurd in the wake of this snowball effect. The study tries to find how the margin calculated on VaR influence the Trade Volume of Pakistani bourse. Pro method was considered to be accurate one than other two models at ? = 0.85, for five hundred days at 99% confidence interval. The study shows that in the case of Slab System, the initial margin charged by the clients fell between 5 and 25%. It has been observed that the cap of margins under VaR system was about 5%. The VaR based margin system has proved to be better than slab system on the empirical as well theoretical grounds.
Author(s)
Nawaz, Faisal Sign in to follow this author
Afzal, Muhammad Sign in to follow this author
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