Market risk of developed and developing countries during the global financial crisis

Bülent Köksal and Mehmet Orhan

MPRA Paper from University Library of Munich, Germany

Abstract: This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a large sample of developed and developing countries. The performance of the VaR is assessed by both unconditional and conditional tests of Kupiec and Christoffersen, respectively, as well as the Quadratic Loss Function. Results indicate that the performance of VaR as a measure of risk is much worse for developed countries than the developing ones during our sample period. One possible reason might be the deeper initial impact of global financial crisis on developed countries than emerging markets. Results also provide evidence of decoupling between emerging and developed countries in terms of market risk during the global financial crisis.

Keywords: Value-at-Risk (VaR); Developed Countries; Emerging Markets; ARCH/GARCH Estimation; Kupiec Test; Christoffersen Test; Quadratic Loss Function (search for similar items in EconPapers)
JEL-codes: C32 C51 G01 G32 (search for similar items in EconPapers)
Date: 2012-03
New Economics Papers: this item is included in nep-cwa and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:37523

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