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Estimating market risk of stock portfolio using Value at Risk (VAR) & Conditional Value at Risk (CVAR)/ Nurfarah Afiza Arif and Nur Syafika Suhaida Ibrahim

Investing is the most efficient way for investors to increase their wealth. In Malaysia, there are several types of investment vehicles available, such as property, unit trust, stocks, fixed deposit and gold investment. This research focuses on stocks also known as equity or share investment. Ris...

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Main Authors: Arif, Nurfarah Afiza, Ibrahim, Nur Syafika Suhaida
Format: Student Project
Language:English
Published: 2019
Subjects:
Investment, capital formation, speculation
Stock price indexes. Stock quotations
Mathematical statistics. Probabilities
Prediction analysis
Online Access:http://ir.uitm.edu.my/id/eprint/37027/1/37027.PDF
http://ir.uitm.edu.my/id/eprint/37027/
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spelling my.uitm.ir.370272020-11-19T05:05:08Z http://ir.uitm.edu.my/id/eprint/37027/ Estimating market risk of stock portfolio using Value at Risk (VAR) & Conditional Value at Risk (CVAR)/ Nurfarah Afiza Arif and Nur Syafika Suhaida Ibrahim Arif, Nurfarah Afiza Ibrahim, Nur Syafika Suhaida Investment, capital formation, speculation Stock price indexes. Stock quotations Mathematical statistics. Probabilities Prediction analysis Investing is the most efficient way for investors to increase their wealth. In Malaysia, there are several types of investment vehicles available, such as property, unit trust, stocks, fixed deposit and gold investment. This research focuses on stocks also known as equity or share investment. Risk and return are two important criteria need to be considered by the investors or shareholder in constructing an optimal portfolio. Previously, the risk was being measured using standard deviation whereby the value lies between zero to one. Therefore, this research adapts Value at Risk (VaR) and Conditional Value at Risk (CVaR) models in measuring monthly market risk of stocks portfolio at 95% confidence level. In normal market condition, VaR is defined as the maximum potential loss, while CVaR described the average predicted loss of a portfolio over a defined period for a given confidence interval. In each model, there are two methods used in this study, which are Historical Simulation and Monte Carlo Simulation. The empirical result shows that the accuracy for VaR and CVaR model is 6.9% and 8.64% respectively. This indicates that VaR and CVaR are successfully been implemented in measuring monthly risk of a stocks portfolio. The empirical results show that VaR is the best model to estimate risk as the overall MAPE is lower as compared to CVaR model with 6.9% and 8.64% respectively. By knowing the risks, eventually investors will be in a better position in making any decisions regarding their investment using VaR and CVaR models. 2019 Student Project NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/37027/1/37027.PDF Arif, Nurfarah Afiza and Ibrahim, Nur Syafika Suhaida (2019) Estimating market risk of stock portfolio using Value at Risk (VAR) & Conditional Value at Risk (CVAR)/ Nurfarah Afiza Arif and Nur Syafika Suhaida Ibrahim. [Student Project] (Unpublished)
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Investment, capital formation, speculation
Stock price indexes. Stock quotations
Mathematical statistics. Probabilities
Prediction analysis
spellingShingle Investment, capital formation, speculation
Stock price indexes. Stock quotations
Mathematical statistics. Probabilities
Prediction analysis
Arif, Nurfarah Afiza
Ibrahim, Nur Syafika Suhaida
Estimating market risk of stock portfolio using Value at Risk (VAR) & Conditional Value at Risk (CVAR)/ Nurfarah Afiza Arif and Nur Syafika Suhaida Ibrahim
description Investing is the most efficient way for investors to increase their wealth. In Malaysia, there are several types of investment vehicles available, such as property, unit trust, stocks, fixed deposit and gold investment. This research focuses on stocks also known as equity or share investment. Risk and return are two important criteria need to be considered by the investors or shareholder in constructing an optimal portfolio. Previously, the risk was being measured using standard deviation whereby the value lies between zero to one. Therefore, this research adapts Value at Risk (VaR) and Conditional Value at Risk (CVaR) models in measuring monthly market risk of stocks portfolio at 95% confidence level. In normal market condition, VaR is defined as the maximum potential loss, while CVaR described the average predicted loss of a portfolio over a defined period for a given confidence interval. In each model, there are two methods used in this study, which are Historical Simulation and Monte Carlo Simulation. The empirical result shows that the accuracy for VaR and CVaR model is 6.9% and 8.64% respectively. This indicates that VaR and CVaR are successfully been implemented in measuring monthly risk of a stocks portfolio. The empirical results show that VaR is the best model to estimate risk as the overall MAPE is lower as compared to CVaR model with 6.9% and 8.64% respectively. By knowing the risks, eventually investors will be in a better position in making any decisions regarding their investment using VaR and CVaR models.
format Student Project
author Arif, Nurfarah Afiza
Ibrahim, Nur Syafika Suhaida
author_facet Arif, Nurfarah Afiza
Ibrahim, Nur Syafika Suhaida
author_sort Arif, Nurfarah Afiza
title Estimating market risk of stock portfolio using Value at Risk (VAR) & Conditional Value at Risk (CVAR)/ Nurfarah Afiza Arif and Nur Syafika Suhaida Ibrahim
title_short Estimating market risk of stock portfolio using Value at Risk (VAR) & Conditional Value at Risk (CVAR)/ Nurfarah Afiza Arif and Nur Syafika Suhaida Ibrahim
title_full Estimating market risk of stock portfolio using Value at Risk (VAR) & Conditional Value at Risk (CVAR)/ Nurfarah Afiza Arif and Nur Syafika Suhaida Ibrahim
title_fullStr Estimating market risk of stock portfolio using Value at Risk (VAR) & Conditional Value at Risk (CVAR)/ Nurfarah Afiza Arif and Nur Syafika Suhaida Ibrahim
title_full_unstemmed Estimating market risk of stock portfolio using Value at Risk (VAR) & Conditional Value at Risk (CVAR)/ Nurfarah Afiza Arif and Nur Syafika Suhaida Ibrahim
title_sort estimating market risk of stock portfolio using value at risk (var) & conditional value at risk (cvar)/ nurfarah afiza arif and nur syafika suhaida ibrahim
publishDate 2019
url http://ir.uitm.edu.my/id/eprint/37027/1/37027.PDF
http://ir.uitm.edu.my/id/eprint/37027/
_version_ 1685651478560112640
score 13.211869

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