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Value-at-Risk Measures During Crisis Periods

Date created
2018-12
Authors/Contributors
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.
Document
Description
MSc in Finance Project-Simon Fraser University
Copyright statement
Copyright is held by the author(s).
Scholarly level
Peer reviewed?
No
Language
English
Download file Size
MSc Finance Thesis - Karl Kuppers.pdf 877.61 KB

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