Portfolio Market Risk Assessment Using Value-at-Risk (VaR) Method – Historical Stimulation

2019 ◽  
Vol 11 (1) ◽  
Author(s):  
Sergei Radukanov ◽  
◽  
◽  
Keyword(s):  
Risk Assessment ◽  
At Risk ◽  
Value At Risk ◽  
Theoretical Aspect ◽  
Market Risk ◽  
Risk Measurement ◽  
Gamble Company ◽  
Historical Simulation ◽  
Toyota Motor Corporation

One of the main VaR methods on theoretical aspect – Historical Simulation to Portfolio is explained in this article. Portfolio market risk measurement is carried out towards the shares of the particular companies – The Procter & Gamble Company (PG), Toyota Motor Corporation (TM) and Nokia Corporation (NOK).

scholarly journals Evaluasi Kualitas Pengungkapan Value at Risk Perbankan Indonesia

2019 ◽  
pp. 276
Author(s):  
Buddi Wibowo ◽  
Hasna Fadhila
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Simulation Method ◽  
Market Risk ◽  
Risk Measurement ◽  
Risk Level ◽  
Risk Disclosure ◽  
Historical Simulation ◽  
Risk Disclosures

Market risk measurement of bank investment portfolios is a still problem not only among practitioners, but  also among academicians. The accuracy and quality of market risk disclosures are important issues because  transparency of the bank risk level encourages market control in the form of market discipline and it also  improve the quality of risk management carried out internally by the bank. This research measures the quality of Value at Risk disclosures carried out by Indonesian banks. The accuracy of Value at Risk in this research is measured from the Value at Risk component which contains information of yield volatility of bank trading treasury activities. To measure Value at Risk disclosure, this research runs various methods of Value at Risk measurement. This research shows Historical Simulation is a Value at Risk method that is most widely used by Indonesia banks. The empirical test results show that the Value at Risk parametric method using asymmetric volatility have better quality than the Value at Risk Historical Simulation method. This research shows that Value at Risk as measured by Historical Simulation method contains the least information of bank trading treasury yields. Keywords: value at risk; disclosure; market risk; volatility

scholarly journals Market Risk Measurement

2020 ◽  
Author(s):  
Emese Lazar ◽  
Ning Zhang
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Preliminary Analysis ◽  
Risk Measures ◽  
Market Risk ◽  
Capital Requirements ◽  
Risk Measurement ◽  
Regulatory Framework ◽  
Bank Capital ◽  
Bank Capital Requirements

This chapter presents a preliminary analysis on how some market risk measures dramatically increased during the COVID-19 pandemic, with measures computed over longer horizons experiencing more pronounced effects. We provide examples when regulatory market risk measurement proved to be suboptimal, overestimating risk. A further issue was the large number of Value-at-Risk ‘exceptions’ during the first few months of the crisis, which normally leads to overinflated bank capital requirements. The current regulatory framework should address these problems by suggesting improvements to the calculation of risk measures and/or by modifying the rules which determine capital requirements to make them appropriate and realistic in crisis situations.

PENGUKURAN RISIKO PORTFOLIO DENGAN MENGGUNAKAN METODE VALUE AT RISK (VAR)

2013 ◽  
Author(s):  
Fajri Adrianto ◽  
Laela Susdiani
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Measurement Method ◽  
Simulation Method ◽  
Risk Measurement ◽  
Portfolio Risk ◽  
Historical Simulation ◽  
Stock Investment ◽  
Risk Investment

Value at Risk (VAR) is a risk measurement method that use in risk investment calculation. VAR shows risk in nominal. This research calculate risk portfolio of stock using VAR method and measure whether VAR value overvalued or underestimated. Using historical simulation method is found VAR value tend to decrease when stock investment consist more stocks in the portfolio. Risk investment calculation consistent with standar devistion as risk measurement, which the more investment diversified the less the risk in the investment. Then, using backtesting reveal that VAR tend too high in portfolio consisting small number of stocks. VAR value can accepted in the portfolio that consist many stocks or the more investment diversified the more accurate VAR value as risk measurement.

scholarly journals Value-at-Risk Estimation of Equity Market Risk in India

2021 ◽  
Vol 9 (1) ◽  
pp. 1-24
Author(s):  
Jitender
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Exchange ◽  
Risk Estimation ◽  
Moving Average ◽  
Equity Market ◽  
Market Risk ◽  
Financial Instrument ◽  
Historical Simulation ◽  
Distributed Models

Abstract The value-at-risk (Va) method in market risk management is becoming a benchmark for measuring “market risk” for any financial instrument. The present study aims at examining which VaR model best describes the risk arising out of the Indian equity market (Bombay Stock Exchange (BSE) Sensex). Using data from 2006 to 2015, the VaR figures associated with parametric (variance–covariance, Exponentially Weighted Moving Average, Generalized Autoregressive Conditional Heteroskedasticity) and non-parametric (historical simulation and Monte Carlo simulation) methods have been calculated. The study concludes that VaR models based on the assumption of normality underestimate the risk when returns are non-normally distributed. Models that capture fat-tailed behaviour of financial returns (historical simulation) are better able to capture the risk arising out of the financial instrument.

scholarly journals Pomiar ryzyka rynkowego miarą wartoś​ci zagrożonej. Metoda kombinowania prognoz ​

2018 ◽  
pp. 183-198
Author(s):  
Piotr Mazur
Keyword(s):  
At Risk ◽  
Financial Institutions ◽  
Value At Risk ◽  
Risk Measure ◽  
Market Risk ◽  
Risk Measurement ◽  
Conditional Value At Risk ◽  
Parametric Methods ◽  
Combining Forecasts

The article discusses the measurement of market risk by Value at Risk method. Value at Risk measure is an important element of risk measurement mainly for financial institutions but can also be used by other companies. The Value at Risk is presented together with its alternative Conditional Value at Risk. The main methods of VaR estimation were divided into nonparametric, parametric and semi-parametric methods. The next part of the article presents a method of combining forecasts, which can be used in the context of forecasting Value at Risk.

scholarly journals VALUE-AT-RISK (VAR) APPLICATION AT HYPOTHETICAL PORTFOLIOS IN JAKARTA ISLAMIC INDEX

2011 ◽  
Vol 3 (2) ◽  
pp. 153-180
Author(s):  
Dewi Tamara ◽  
Grigory Ryabtsev
Keyword(s):  
At Risk ◽  
Exploratory Study ◽  
Value At Risk ◽  
Market Risk ◽  
Global Crisis ◽  
Historical Simulation ◽  
Level Of Confidence ◽  
Simulation Based ◽  
Increasing Risk

The paper is an exploratory study to apply the method of historical simulation based on the concept of Value at Risk on hypothetical portfolios on Jakarta Islamic Index (JII). Value at Risk is a tool to measure a portfolio’s exposure to market risk. We construct four portfolios based on the frequencies of the companies in Jakarta Islamic Index on the period of 1 January 2008 to 2 August 2010. The portfolio A has 12 companies, Portfolio B has 9 companies, portfolio C has 6 companies and portfolio D has 4 companies. We put the initial investment equivalent to USD 100 and use the rate of 1 USD=Rp 9500. The result of historical simulation applied in the four portfolios shows significant increasing risk on the year 2008 compared to 2009 and 2010. The bigger number of  the member in one portfolio also affects the VaR compared to smaller member. The level of confidence 99% also shows bigger loss compared to 95%. The historical simulation shows the simplest method to estimate the event of increasing risk in Jakarta Islamic Index during the Global Crisis 2008.

scholarly journals RISK OF INDONESIAN BANKS: AN APPLICATION OF HISTORICAL EXPECTED SHORTFALL METHOD

2015 ◽  
Vol 17 (3) ◽  
pp. 299-314
Author(s):  
Nevi Danila ◽  
Bunyamin Bunyamin ◽  
Siti Munfaqiroh
Keyword(s):  
Risk Assessment ◽  
At Risk ◽  
Value At Risk ◽  
Balance Sheet ◽  
Market Risk ◽  
Expected Shortfall ◽  
Jel Classification ◽  
Small Enterprise ◽  
Basel Committee ◽  
Market Risks

Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR). However, a replacement of VaR with Expected Shortfall (ES) has been suggested recently due to an excessive losses produced by banks which are beyond VaR estimations. This paper studied the risk of Indonesian banks applying a historical expected shortfall. We used JIBOR (overnight) from 2009 – 2012 as a proxy of market risk. The assessment of a historical expected shortfall of the net position of 27 banks accounts for October 2012 showed that state owned banks placed among the five highest value of each component (net position) in the balance sheet, namely placement to Bank Indonesia, interbank placement, spot and derivatives claims, securities, and loans. It means that the state owned banks had the highest risk and were the most aggressive among Indonesian banks. It might be due to carrying some of the government’s program, such as small enterprise loans. Keywords: expected shortfall, value at risk, banks, risk. JEL Classification: D81, G210

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