The Influences of Book-to-Price Ratio and Stock Capitalization on Value-at-Risk Estimation in Taiwan Stock Market

Wu, Tsung-Che; Huang, Hung-Hsi; Wang, Chen‐Chi; Zhong, Yi-Lin

doi:10.1080/1540496x.2018.1509790

Cited by 3 publications

(1 citation statement)

References 29 publications

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“…Many researchers also find that VaR measures based on normal or simple student's t-distribution underestimate variance and are subject to upward bias because return distributions are fat-tailed (Longin, 1996;Wu et al, 2020;Lee and Poon, 2015). For quantifying market risk, we have also adopted a student t-distribution with location and scale allowing us to specify the mean and standard deviation of log returns distribution while characterizing VaR on degrees of freedom (ν), confidence level (cl) and holding period (hp):…”

Section: Student-t-location-scale Distributionmentioning

confidence: 99%

Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study

Mozumder,

Abedin,

Lalon

et al. 2024

Comput Econ

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Which user-friendly model is the best for BASEL-III? An emerging market study Abstract： This paper explores backtesting Value-at-Risk (VaR) and Expected Shortfall (ES) considering ten standard and extended tests in the context of non-technical individual investors trading equities of twenty selected commercial banks listed at the Dhaka Stock Exchange (DSE) using their daily log return since last 11 years (from 2010 to 2020).Following a significant literature gap on investigating the efficacy of user friendly models quantifying market risk of Bangladeshi banks being a participant of emerging economy, this paper adopted Four user-friendly models that are relatively straightforward to understand, interpret and considered as representatives of zero, -one, -two, and -three parametric families of all risk models in the literature. The popular RiskMetrics TM risk forecast model of JPMorgan, sweeping the world as the most user-friendly conditional alternative to unconditional Gaussian risk forecasts, under the framework of VaR, is found not to be adequate under the framework of ES that is recently recommended by Basel-III. The joint score value-based comparison finds the historical simulation (HS) model as the most appropriate model in Bangladesh when models are assessed under a practical user-friendly implementation design. Under this design the Trust Bank Ltd.(TBL), the bank managed and operated by Bangladesh Military, stands as the best investor friendly bank in terms of causing least frustration to its equity investors over 2010-20. Therefore, user friendly model is still successful to validate its uniformity being a best of the both worlds model in quantifying market risk over the globe.

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Section: Student-t-location-scale Distributionmentioning

confidence: 99%