Comparison of VaR Methods : The Case of Indian Equities (Record no. 49175)
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| 000 -LEADER | |
|---|---|
| fixed length control field | nam a22 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20180206191052.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 180206b xxu||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Bedi, Prateek |
| 9 (RLIN) | 29982 |
| 245 ## - TITLE STATEMENT | |
| Title | Comparison of VaR Methods : The Case of Indian Equities |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 24-36 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | Different approaches to calculate VaR are based on different assumptions. This study dealt with a comparative evaluation of four Value-at-Risk models namely, historical VaR, normal VaR, GARCH (1,1) VaR, and volatility weighted historical simulation (VWHS) VaR in terms of their prediction accuracy for an active portfolio of Indian equities. Daily NAVs of 34 Indian equity growth mutual fund schemes for a period of 10 years were used to calculate 95% VaR and backtest the results using Kupiec's POF test for all four VaR models. To identify the better performing VaR methods accurately, the analysis was performed in two phases : pre-crisis analysis and post crisis analysis. We concluded that there was a significant (insignificant) difference in performance of different VaR models if market conditions during VaR calculation and VaR backtesting periods were in contrast (congruence) to each other. The study found VWHS to be a better methodology for measuring VaR of an active portfolio of Indian equity stocks in both phases of the analysis. The results are relevant for traders & retail and institutional investors who hold stocks of Indian companies in their portfolio and need to calculate VaR as a measure of market risk for their positions. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Backtesting |
| Uncontrolled term | Historical Var, Kupiec's |
| Uncontrolled term | POF Test |
| Uncontrolled term | GARCH (1,1) |
| Uncontrolled term | VaR |
| Uncontrolled term | Volatility Weighted Historical Simulation |
| Uncontrolled term | VaR |
| Uncontrolled term | Normal VaR |
| Uncontrolled term | Value At Risk |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Shankar, Devesh |
| 9 (RLIN) | 29983 |
| Personal name | Agnihotri, Shalini |
| 9 (RLIN) | 29984 |
| Personal name | Kalra, Jappanjyot Kaur |
| 9 (RLIN) | 29985 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29384 |
| Host Itemnumber | 69497 |
| Main entry heading | GILANI,S. |
| Other item identifier | 5558310 |
| Title | INDIAN JOURNAL OF FINANCE |
| International Standard Serial Number | 0973-8711 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 06/02/2018 | Vol 12, Issue 1/ 5558310JA2 | 5558310JA2 | 06/02/2018 | 06/02/2018 |