MARC details
| 000 -LEADER |
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| fixed length control field |
02248nam a2200253 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20160616182457.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
160616b xxu||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
: Iqbal, Javed; |
| 9 (RLIN) |
22966 |
| 245 ## - TITLE STATEMENT |
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| Title |
Determining the marginal contributions of the economic capital of credit risk portfolio: an analytical approach. Predictive ability of value-at-risk methods: evidence from the karachi stock exchange-100 index |
| Statement of responsibility, etc |
Javed Iqbal, Sara Azher, and Ayesha Ijaz, |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
Hydrabad |
| Name of publisher, distributor, etc |
The IUP Publications |
| Date of publication, distribution, etc |
March 2013 |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
26 -41 P. |
| Other physical details |
Paper |
| 500 ## - GENERAL NOTE |
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| General note |
Value-at-risk (VaR) has been extensively used to measure systematic risk exposure in developed markets, e.g., of the US, Europe and Asia. This paper analyzes the accuracy of VaR measure for Pakistan's emerging stock market using daily data of the Karachi Stock Exchange-100 index for the period from January 1992 to June 2008. The paper computes VaR by employing data on annual basis as well as for the entire 17-year period. Overall, it is observed that VaR measures are more accurate when KSE index return volatility is estimated by GARCH(1, 1) model, especially at 95% confidence level. In this case, the actual loss of KSE-100 index exceeds VaR in only three years, 1998, 2006 and 2008. On average, for the whole period 95% VaR is estimated to be about 2.5% of the value of KSE-100 index. That is, on average, in one out of 20 days, KSE-100 index loses at least 2.5% of its value. The paper also investigates the asset pricing implication of downside risk measured by VaR and expected returns for decile portfolios sorted according to VaR of each stock. It shows that portfolios with higher VaR have higher average returns. Therefore, VaR as a measure of downside risk is associated with higher returns |
| 610 ## - SUBJECT ADDED ENTRY--CORPORATE NAME |
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| Corporate name or jurisdiction name as entry element |
Karachi Stock Market |
| 9 (RLIN) |
22967 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Value at Risk |
| 9 (RLIN) |
22968 |
|
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| Topical term or geographic name as entry element |
Risk Exposure |
| 9 (RLIN) |
22969 |
|
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| Topical term or geographic name as entry element |
Emering Markets |
| 9 (RLIN) |
22970 |
|
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| Topical term or geographic name as entry element |
Stock ( Finance) |
| 9 (RLIN) |
22971 |
|
|---|
| Topical term or geographic name as entry element |
Financial Market Interaction |
| 9 (RLIN) |
22972 |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Azher, Sara; |
| 9 (RLIN) |
22973 |
|
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| Personal name |
Ijaz, Ayesha |
| 9 (RLIN) |
22974 |
| 773 0# - HOST ITEM ENTRY |
|---|
| Host Biblionumber |
30419 |
| Host Itemnumber |
32180 |
| Main entry heading |
MURTHY, E N |
| Place, publisher, and date of publication |
IUP PUBLICATION HYDEARABAD |
| Other item identifier |
555773 |
| Title |
FINANCIAL RISK MANAGEMENT |
| International Standard Serial Number |
0972-916X |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Journal Article |
