Examines Different Computational Approaches of Value-At-Risk (var) for BSE Index Stocks of Sensex

Suyash Bhatt ()
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Suyash Bhatt: Prin. L.N. Welingkar Institute of Management Development and Research, Mumbai, India

Journal of Internet Banking and Commerce, 2017, vol. 22, issue 03, 01-06

Abstract: This paper applies the concept of Value-at-Risk (VaR) to Indian Capital Markets and examines the different computational approaches to VaR and their relative differences in measuring the downside of the risk involved in the investment of equities by applying the concept of VaR on a portfolio comprising of the stocks listed on the Indian Capital Market Index - the BSE SENSEX; by testing the model on time series data i.e. historical daily returns of the Index over a two month horizon and back testing the results of the Monte-Carlo Simulation against historically obtained VaR estimates.

Keywords: Markets; Investment; Nifty Index; Profitability (search for similar items in EconPapers)
JEL-codes: A11 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:ris:joibac:0132

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