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Examines Different Computational Approaches of Value-At-Risk (var) for BSE Index Stocks of Sensex

Author

Listed:
  • BHATT, SUYASH

    (Prin. L.N. Welingkar Institute of Management Development and Research, Mumbai, India)

Abstract

This paper applies the concept of Value-at-Risk (VaR) to Indian Capital Markets and examines the different computational approaches to VaR and their relative differences in measuring the downside of the risk involved in the investment of equities by applying the concept of VaR on a portfolio comprising of the stocks listed on the Indian Capital Market Index - the BSE SENSEX; by testing the model on time series data i.e. historical daily returns of the Index over a two month horizon and back testing the results of the Monte-Carlo Simulation against historically obtained VaR estimates.

Suggested Citation

  • Bhatt, Suyash, 2017. "Examines Different Computational Approaches of Value-At-Risk (var) for BSE Index Stocks of Sensex," Journal of Internet Banking and Commerce, , vol. 22(03), pages 01-06, December.
    • Handle: RePEc:ris:joibac:0132
    as

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    More about this item

    Keywords

    Markets; Investment; Nifty Index; Profitability;
    All these keywords.

    JEL classification:

    • A11 - General Economics and Teaching - - General Economics - - - Role of Economics; Role of Economists

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