A Risk Metric Assessment of Scenario-Based Market Risk Measures for Volatility and Risk Estimation: Evidence from Emerging Markets
Author:
Sitima Innocent1,
Hlatywayo Clifford K.1
Affiliation:
1. Department of Agricultural Economics, University of Fort Hare, South Africa
Abstract
Abstract
The study evaluated the sensitivity of the Value- at- Risk (VaR) and Expected Shortfalls (ES) with respect to portfolio allocation in emerging markets with an index portfolio of a developed market. This study utilised different models for VaR and ES techniques using various scenario-based models such as Covariance Methods, Historical Simulation and the GARCH (1, 1) for the predictive ability of these models in both relatively stable market conditions and extreme market conditions. The results showed that Expected Shortfall has less risk tolerance than VaR based on the same scenario-based market risk measures
Publisher
Walter de Gruyter GmbH
Subject
General Economics, Econometrics and Finance,General Business, Management and Accounting
Cited by
1 articles.
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