Estimating industries market risk in TSE based on value at risk (VaR)
Subject Areas : Financial Knowledge of Securities Analysis
Keywords: Value at risk, risk management, Exponentially Weighted Moving , Monte Carlo simulation, Kupiec test,
Abstract :
Considering the day by day ever changing environment and economic systems factors, every day, different risks influence on finance structure of financial institutions. Incremental trend of globalization phenomenon in financial markets, internationalization of economy, financial innovations and create new financial instruments, as well as the vast and fast derivative products development, understanding of the effect of the market circumstances in firm’s situation is powerful more than ever. Therefore, market risk is the important point of view for market players. Market risk is kind of risk that arises in market. It includes several kinds of risk such as: product and stock price risk, bull-bear market risk, exchange rate risk and etc. In this research we use monte carlo Value at Risk (VaR) for TSE s industries market risk estimation whit one day risk horizon and %99 confidence interval and Exponentially Weighted Moving Average model for volatility forcasting . Finally we use Kupiec test for backtesting of model.