Value at Risk in the South African equity market: a view from the tails
South African Journal of Economic and Management Sciences
| Field | Value | |
| Title | Value at Risk in the South African equity market: a view from the tails | |
| Creator | Milwidsky, C Mare, Eben | |
| Description | Traditional parametric Value at Risk (VaR) estimates assume normality in financial returns data. However, it is well known that this distribution, while convenient and simple to implement, underestimates the kurtosis demonstrated in most financial returns. Huisman, Koedijk and Pownall (1998) replace the normal distribution with the Students t distribution in modelling financial returns for calculation of VaR. In this paper we extend their approach to the Monte Carlo simulation of VaR on both linear and non-linear instruments with application to the South African equity market. We show, via backtesting, that the t-distribution produces superior results to the normal one. | |
| Publisher | AOSIS Publishing | |
| Date | 2010-09-10 | |
| Identifier | 10.4102/sajems.v13i3.109 | |
| Source | South African Journal of Economic and Management Sciences; Vol 13, No 3 (2010); 345-361 2222-3436 1015-8812 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://sajems.org/index.php/sajems/article/view/109/7
https://sajems.org/index.php/sajems/article/downloadSuppFile/109/27
https://sajems.org/index.php/sajems/article/downloadSuppFile/109/28
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