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A Bootstrapped Historical Simulation Value at Risk Approach to S&P CNX Nifty
Year Of Publication: 2008
Month Of Publication: January
Pages: 24
Download Count: 34
View Count: 2600
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 10-2-2010
Publisher: Administrator
Summary
This paper proposes to evaluate the predictive performance of Value at Risk (VaR) methods, empirically applied to S&P CNX NIFTY, Index of National Stock Exchange of India. The traditional Value at Risk method assumes linearity as a distributional assumption, which entails high amount of model risk. The Value at Risk model based on historical simulation is a good candidate for the financial returns series, as it does not take any distributional assumption. The Bootstrapped Historical simulation VaR is found to be a better choice as it keeps the true distributional properties along with tackling the scarcity of adequate data point by bootstrapping, which is a necessity for historical simulation.
Author(s)
Dutta, Debashis Sign in to follow this author
Bhattacharya, Basabi Sign in to follow this author
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