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Market risk valuation modeling for the European countries at the financial crisis of 2008

Author

Listed:
  • Shcherba, Alexandr

    (National Research University Higher School of Economics, Moscow)

Abstract

The work is dedicated to VaR models, estimated on the equities quotes of the six European countries. The time series cover three economic periods — pre crisis, crisis and post crisis, where the crisis period is the financial crunch of the 2008 year. The volatility estimation is based on the four APARCH(1,1) models and six distribution functions. The results of the investigation show the connection of the model with country's economic development and its financial condition at the different periods of time.

Suggested Citation

  • Shcherba, Alexandr, 2012. "Market risk valuation modeling for the European countries at the financial crisis of 2008," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 27(3), pages 20-35.
    • Handle: RePEc:ris:apltrx:0176
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    References listed on IDEAS

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    Cited by:

    1. Shcherba, Alexandr, 2014. "Comparing «Realized volatility» models in the VaR calculation for the Russian equity market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 34(2), pages 120-136.
    2. Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.

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    More about this item

    Keywords

    VaR; APARCH; market risk; financial crisis 2008;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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