Value-at-risk and Conditional Value-at-risk Assessment and Accuracy Compliance in Dynamic of Malaysian Industries

Dargiri, Mohammad Nourani; Shamsabadi, Hussein Abedi; Thim, Chan Kok; Rasiah, Devinaga; Sayedy, B.

doi:10.3923/jas.2013.974.983

Cited by 6 publications

(5 citation statements)

References 6 publications

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“…Third, we measure stock‐market tail risk using the Generalized Autoregressive Conditional Heteroscedasticity‐Extreme Value Theory (GARCH‐EVT) framework. This model is motivated by the often documented underestimation and overestimation of parametrically determined VaR and conditional value at risks (CVaR), following the outcome of backtesting (see Chebbi & Hedhli, 2020; Dargiri et al, 2013). EVT has become useful in financial risk management (see McNeil & Frey, 2000) and is also widely adopted for the estimation of the VaRs of financial time series, given its characteristic focus on the tail behavior rather than the entire data points, and its improvement over extant conventional techniques for VaR estimation.…”

Section: Resultsmentioning

confidence: 99%

Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data

Salisu¹,

Pierdzioch²,

Gupta³

et al. 2022

Int Rev Finance

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We examine the predictive value of the uncertainty associated with growth in temperature for stock-market tail risk in the United States using monthly data that cover the sample period from 1895:02 to 2021:08. To this end, we measure stock-market tail risk by means of the popular Conditional Autoregressive Value at Risk (CAViaR) model.Our results show that accounting for the predictive value of the uncertainty associated with growth in temperature, as measured either by means of standard generalized autoregressive conditional heteroskedasticity (GARCH) models or a stochastic-volatility (SV) model, mainly is beneficial for a forecaster who suffers a sufficiently higher loss from an underestimation of tail risk than from a comparable overestimation.

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Section: Resultsmentioning

confidence: 99%

Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data

Salisu¹,

Pierdzioch²,

Gupta³

et al. 2022

Int Rev Finance

View full text Add to dashboard Cite

show abstract

“…Moreover, ES is adopted providing the expected loss conditional on going beyond the VaR level calculated at the confidence level (q=99%) and thus it could be equal to VaR or exceeds it. This average expected loss can be a more accurate lower approximation of the left-tail risk of the return distribution [20].…”

Section: Idiosyncratic Risk Measuresmentioning

confidence: 99%

“…Nevertheless, Bahraini banks' daily stock returns are neither correlated with each other nor cross-board. Saudi Arabia (banks [16][17][18][19][20] has the strongest co-movements of stock returns among banks with correlation coefficients mostly above 50%. Especially the robust correlated returns of banks (numbers 16, 19) Banque Saudi Fransi and Saudi British (59%).…”

Section: Correlation Coefficients Between Banks' Stock Returnsmentioning

confidence: 99%

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Banking Risk in Selected MENA Countries

Gadou

2022

ijirss

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This study examines the influence of bank-specific variables on the individual risk of 58 banks in ten MENA countries over the period 2011-2019. Firstly, investigating the correlations among the banks’ stock returns depicts that the banks with the highest correlations are in Saudi Arabia, the United Arab Emirates, and Qatar, either domestically or across countries. Then, the individual bank risk ranking for the entire sample based on estimated historical Value-at-Risk (VaR) and Estimated Shortfall (ES) shows that the corresponding positions of banks according to their riskiness differ slightly. Noticeably, the National Bank of Fujairah in the United Arab Emirates has the highest idiosyncratic risk level in terms of both risk measures. We lastly conducted fixed and random effects panel regression models to examine the impact of bank-specific balance sheet data and macroeconomic variables on bank risk levels captured by VaR and ES. The whole sample comprises publicly listed banks in 10 countries, which were further divided into 2 sub-samples for the Gulf Cooperation Council (GCC) region and Mediterranean Partner Countries (MPCs). The outcomes of the aggregate sample suggest that lower leverage, profitability, and economic growth may exacerbate idiosyncratic risk. Results also demonstrate that strengthening stability and regulatory capital positions would lower banking risk. Considering the GCC sub-sample for VaR and ES models, we found that both risk measures typically increase with greater liquidity.

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“…CVM can also be used to assess market-based goods, such as livestock, if reducing reliance on these goods can enhance public ecosystem services [35]. As a market simulation method, CVM has inherent shortcomings [32]; however, it contains mechanisms to reduce the impact of most deviations, such as providing the respondents with detailed information, increasing the credibility and certainty of the content of the questions, and controlling the investigation time of each sample at 20 to 30 min [36][37][38].…”

Section: Introductionmentioning

confidence: 99%

Farmers’ Willingness to Accept Compensation to Maintain the Benefits of Urban Forests

Wang

Adamowski

Wang

et al. 2019

Forests

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The Returning Farmland to Forest Program (RFFP) was implemented in China in 1999 with the goal of supporting environmental restoration by returning significant areas of cultivated land to forest. While afforestation supports long-term ecosystem services like carbon sequestration and the reduction of soil and water loss, it also reduces the amount of available arable land, putting financial pressure on those who depend on it for their livelihoods. In an effort to balance both ecological and economic benefits, regional governments offer financial compensation to farmers to offset these pressures in the form of a dollar amount per hectare of reforested land. The current study explores participants’ willingness to accept pay (WTA), along with the difference between the offered per hectare compensation and the amount deemed acceptable by RFFP participants in the region. To this end, 92 households from the representative afforestation area were surveyed in Huining County, Gansu Province, China - an area of strategic ecological importance in the Loess Plateau. The results showed 12.0% of the surveyed respondents to be satisfied with the current compensation policy, while 88.0% of respondents were not. The respondents’ lower and upper WTA limits were $221/ha/year and $1331/ha/year, respectively, with an average WTA of $777/ha/year. The compensation that respondents would be most willing to accept was distributed in the $444–888/ha/year and the $889–1331/ha/year ranges, accounting for 37.0% and 31.5% of the total responses, respectively. Gender, age, and education were found to be the main factors influencing a respondents’ WTA. Results of the survey suggest that the actual compensation amount ($355/ha/year) is much lower than respondents’ WTA, and that compensation measures and policies should be improved to guarantee a basic income.

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Value-at-risk and Conditional Value-at-risk Assessment and Accuracy Compliance in Dynamic of Malaysian Industries

Cited by 6 publications

References 6 publications

Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data

Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data

Banking Risk in Selected MENA Countries

Farmers’ Willingness to Accept Compensation to Maintain the Benefits of Urban Forests

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