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- W1510873596 abstract "Value at Risk (VaR) is the estimate of the potential decrease in the value of the security for the given time horizon and particularly captures the risk element arising out of fluctuations in the market. VaR is globally used as the risk measurement tool by the Banking sector, Investment sector and various other research analysts. Risk management for the banking sector has become crucial and closely monitored since the fall-out due to collapse of several global financial institutions like Lehman Brothers, Orange county etc. Basel Committee on Banking Supervision’s Basel norms emphasise this aspect of VaR under Capital Adequacy norms. There are various models to calculate Measure risk under VaR which can be used by not only Banking sector but also other sectors to enable de-risking of their business through predictive back-testing. Currently regulators do not mandate use of any specific model and hence banking sector is free to use any model.The aim of the study is to back test two such models namely Variance Approach and Historical Simulation on the large data sample of 431 S&P company share prices on the BSE exchange and check the accuracy of these models in the Indian context. The same is examined on the portfolios of share each containing 10 companies shares on the predefined weight." @default.
- W1510873596 created "2016-06-24" @default.
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- W1510873596 date "2013-10-28" @default.
- W1510873596 modified "2023-09-23" @default.
- W1510873596 title "Back-testing Value at Risk models on Indian stock markets using Covariance and Historical Simulation approach." @default.
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