A Risk Metric Assessment of Scenario-Based Market Risk Measures for Volatility and Risk Estimation: Evidence from Emerging Markets

Sitima Innocent () and Hlatywayo Clifford K.
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Sitima Innocent: Department of Agricultural Economics, University of Fort Hare, South Africa
Hlatywayo Clifford K.: Department of Agricultural Economics, University of Fort Hare, South Africa

South East European Journal of Economics and Business, 2015, vol. 9, issue 2, 21-32

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

Keywords: risk; metric; assessment:; market; risk; measures:; risk; estimation:; risk; volatility:; emerging; market (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:seejeb:v:9:y:2015:i:2:p:21-32:n:1

DOI: 10.2478/jeb-2014-0001

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