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Value at Risk Models for Volatile Emerging Markets Equity Portfolios
Company: Quarterly Review of Economics and Finance
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: November
Pages: 515-528
Download Count: 13
View Count: 1936
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 1-22-2011
Publisher: Administrator
This paper investigates the issue of market risk quantification for emerging and developed market equity portfolios. A very wide spectrum of popular and widely used in practice Value at Risk (VaR) models are evaluated and compared with Extreme Value Theory (EVT) and adaptive filtered models, during normal, crises, and post-crises periods. The results are interesting and indicate that despite the documented differences between emerging and developed markets, the most successful VaR models are common for both asset classes. Furthermore, in the case of the (fatter tailed) emerging market equity portfolios, most VaR models turn out to yield conservative riskforecasts, in contrast to developed market equity portfolios, where most models underestimate the realized VaR. VaR estimation during periods of financial turmoil seems to be a difficult task, particularly in the case of emerging markets and especially for the higher loss quantiles. VaR models seem to be affected less by crises periods in the case of developed markets. The performance of the parametric (non-parametric) VaR models improves (deteriorates) during post-crises periods due
Spyrou, Spyros I. Sign in to follow this author
Kavussanos, Manolis G. Sign in to follow this author
Dimitrakopoulos, Dimitris N. Sign in to follow this author
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