Evaluation of value-at-risk models using historical data in Asia.

• Main Authors: Lin, Xiuwen., Li, Xiang., Tse, Kit Lam.
• Other Authors: Wang, Peiming
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Operations management::Risk management
• Online Access: http://hdl.handle.net/10356/10455
• Institution: Nanyang Technological University

The concern of the study is the performance assessment of Value-at-Risk (VaR) models when applied to emerging markets in Asia. The VaR models are assessed on their performances under different parameter settings and under different market conditions. The models investigated include Historical Simula...