A VaR-based Downside Risk Analysis of Indian Equity Mutual Funds in the Pre- and Post-global Financial Crisis Periods
Author
Abstract
Suggested Citation
DOI: 10.1177/0972652719846348
Download full text from publisher
References listed on IDEAS
- Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
- Alexander, Gordon J. & Baptista, Alexandre M., 2002. "Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1159-1193, July.
- Basak, Suleyman & Shapiro, Alexander, 2001.
"Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices,"
The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 371-405.
- Suleyman Basak & Alex Shapiro, "undated". "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 6-99, Wharton School Rodney L. White Center for Financial Research.
- Suleyman Basak & Alexander Shapiro, 1999. "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-032, New York University, Leonard N. Stern School of Business-.
- Suleyman Basak & Alex Shapiro, "undated". "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 06-99, Wharton School Rodney L. White Center for Financial Research.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Susan Thomas & Mandira Sarma & Ajay Shah, 2003. "Selection of Value-at-Risk models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 337-358.
- Philippe Jorion, 2000. "Risk management lessons from Long‐Term Capital Management," European Financial Management, European Financial Management Association, vol. 6(3), pages 277-300, September.
- Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Apr), pages 39-69.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- Gupta, Anurag & Liang, Bing, 2005. "Do hedge funds have enough capital? A value-at-risk approach," Journal of Financial Economics, Elsevier, vol. 77(1), pages 219-253, July.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Chrétien, Stéphane & Coggins, Frank, 2010. "Performance and conservatism of monthly FHS VaR: An international investigation," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 323-333, December.
- Katherine Uylangco & Siqiwen Li, 2016. "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 699-718, November.
- de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013. "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, vol. 69(C), pages 1-34.
- Mehmet Sahiner & David G. McMillan & Dimos Kambouroudis, 2023. "Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 723-762, September.
- Stavroyiannis, S. & Makris, I. & Nikolaidis, V. & Zarangas, L., 2012. "Econometric modeling and value-at-risk using the Pearson type-IV distribution," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 10-17.
- Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
- Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Charles, Amélie & Darné, Olivier, 2014.
"Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013,"
Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
- Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
- Chebbi, Ali & Hedhli, Amel, 2022. "Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 430-445.
- Zouheir Mighri & Raouf Jaziri, 2023. "Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 41-97, March.
- Timotheos Angelidis & Alexandros Benos, 2008. "Value-at-Risk for Greek Stocks," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 67-104, March-Jun.
- Assaf, Ata, 2015. "Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 30-45.
- Rostagno, Luciano Martin, 2005. "Empirical tests of parametric and non-parametric Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) measures for the Brazilian stock market index," ISU General Staff Papers 2005010108000021878, Iowa State University, Department of Economics.
- Szubzda Filip & Chlebus Marcin, 2019.
"Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions,"
Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
- Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
- Pierre Giot & Sébastien Laurent, 2003.
"Value-at-risk for long and short trading positions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663.
- GIOT, Pierre & LAURENT, Sébastien, 2001. "Value-at-risk for long and short trading positions," LIDAM Discussion Papers CORE 2001022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- GIOT, Pierre & LAURENT, Sébastien, 2003. "Value-at-Risk for long and short trading positions," LIDAM Reprints CORE 1707, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pierre Giot and S»bastien Laurent, 2001. "Value-At-Risk For Long And Short Trading Positions," Computing in Economics and Finance 2001 94, Society for Computational Economics.
- Ra l De Jes s Guti rrez & Lidia E. Carvajal Guti rrez & Oswaldo Garcia Salgado, 2023. "Value at Risk and Expected Shortfall Estimation for Mexico s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 467-480, July.
- E. Ramos-P'erez & P. J. Alonso-Gonz'alez & J. J. N'u~nez-Vel'azquez, 2020. "Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network," Papers 2006.16383, arXiv.org, revised Aug 2020.
- Buczyński Mateusz & Chlebus Marcin, 2018. "Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(2), pages 67-82, June.
- Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2004.
"The Use of GARCH Models in VaR Estimation,"
MPRA Paper
96332, University Library of Munich, Germany.
- Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2010. "The Use of GARCH Models in VaR Estimation," Working Papers 0048, University of Peloponnese, Department of Economics.
More about this item
Keywords
VaR; mutual funds; downside risk;All these keywords.
JEL classification:
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:emffin:v:18:y:2019:i:2:p:210-236. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: http://www.ifmr.ac.in .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.