Value-at-Risk Measures During Crisis Periods

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Scholarly level: 
Graduate student (Masters)
Date created: 
2018-12
Keywords: 
Value-at-risk
Market risk
Crisis
Risk management
GARCH
Abstract: 

Value-at-Risk (VaR) is a commonly used measure of market risk in the financialindustry. The measure seeks to identify the loss that an investment may realize within acertain confidence level. It is used to evaluate the market risks of assets and to calculatecapital reserve requirements. However, despite its wide use in financial riskmanagement, it has several well-known limitations. This project analyses a class of VaRmodels that were published in the academic literature and evaluates their performancewhen market conditions are stressed. The findings of this research reveal that thesemodels perform poorly when market conditions are changing. Managers who rely onthese VaR models may underestimate their risks and fail to set aside appropriate capitalreserves to handle adverse market moves.

Description: 

MSc in Finance Project-Simon Fraser University

Language: 
English
Document type: 
Graduating extended essay / Research project
Rights: 
Copyright remains with the author.
File(s): 
Senior supervisor: 
Andrey Pavlov
Department: 
Beedie School of Business-Segal Graduate School
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