Value at Risk and Conditional Value at Risk in the Risk Management of Indian Stock Portfolios-Reference-Cited by-同舟云学术

Value at Risk and Conditional Value at Risk in the Risk Management of Indian Stock Portfolios

Published:2024-07-02 Issue: Volume: Page:37-49
ISSN:
Container-title:Business Analytics for Effective Decision Making
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Author:

KP. Syamraj¹,Cleetus Regina Sibi¹

Affiliation:

1. Mar Ivanios College (Autonomous), Nalanchira, Thiruvananthapuram, Kerala, India

Abstract

Successful investment involves maximizing rewards while minimizing risk. Investors and traders consider risk while making investment decisions, which is often the deciding element in accepting or rejecting an asset or security. The study focuses on risk management in Indian stock portfolios and VaR and CVaR models for risk valuation. The study compares VaR and CvaR valuations on different stock portfolios. This work provides more details on stock portfolio risk blended with different industries. The VaR model framework helps determine the entity's loss potential and the likelihood of the defined loss. The financial sector is the leading sector in stock portfolio returns, and Value at Risk and Conditional Value at Risk values for the financial sector stock portfolio indicate a high level of risk. <br>

Publisher

BENTHAM SCIENCE PUBLISHERS

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