IDEAS home Printed from https://ideas.repec.org/p/iik/wpaper/379.html
   My bibliography  Save this paper

Portfolio Risk and Stress across Business Cycle

Author

Listed:
  • Aravind Sampath

    (Indian Institute of Management Kozhikode)

  • Sandip Chakraborty

    (Indian Institute of Management (IIM) Calcutta, Kolkata)

  • Ram Kumar Kakani

    (Indian Institute of Management Kozhikode)

Abstract

Past research on market stress limits the scope to the extent of measuring tail loss (CVaR) by looking after joint asset correlations. We probe further the interactions of daily tail risk estimates of thirty market indices representing a broad spectrum of assets from 2003 till 2015 across the USA and other major financial hubs. We study the dependence structure through Conditional Copula augmented Markov-switching transitions. Results show extent of contagion of tail risk, cross-assets and cross-geographies formed during economy wide stress and role played by alternative assets to mitigate overall state wide risk. Our results also show magnitude of tail risk contagion amongst countries studied. Investment managers allocating capital on cross-border and cross-assets may benefit from the results. Large banks and other international financial institutions may assess potential tail risk awaiting their trade book.

Suggested Citation

  • Aravind Sampath & Sandip Chakraborty & Ram Kumar Kakani, 2020. "Portfolio Risk and Stress across Business Cycle," Working papers 379, Indian Institute of Management Kozhikode.
    • Handle: RePEc:iik:wpaper:379
    as

    Download full text from publisher

    File URL: https://www.iimk.ac.in/websiteadmin/FacultyPublications/Working%20Papers/3206KK_Upload_Final_1.pdf?t=04
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Portfolio Risk; Conditional Copula; CVaR; Stress; Markov-Switching; Business Cycle; Alternative Assets.;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    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:iik:wpaper:379. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Sudheesh Kumar (email available below). General contact details of provider: https://edirc.repec.org/data/iikmmin.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.