封面圖片

Comparison study of different value at risk models and their effectiveness on the Malaysian palm oil futures (FCPO) market

Market risk is an important element of derivatives trading and can cause derivatives market participants to suffer substantial amount of loss if not managed properly. Value at Risk (VaR) is a tool that has been used to manage market risk particularly in the developed markets. This research tries to...

全面介紹

Saved in:
書目詳細資料
主要作者: Thirunavukkarasu, L K. Suppiah
格式: Thesis
語言:English
English
出版: 2015
主題:
HG Finance
在線閱讀:http://etd.uum.edu.my/5053/
標簽: 添加標簽
沒有標簽, 成為第一個標記此記錄!
id my.uum.etd.5053
record_format eprints
spelling my.uum.etd.50532021-03-29T09:52:16Z http://etd.uum.edu.my/5053/ Comparison study of different value at risk models and their effectiveness on the Malaysian palm oil futures (FCPO) market Thirunavukkarasu, L K. Suppiah HG Finance Market risk is an important element of derivatives trading and can cause derivatives market participants to suffer substantial amount of loss if not managed properly. Value at Risk (VaR) is a tool that has been used to manage market risk particularly in the developed markets. This research tries to identify which VaR model out of three models namely Historical Simulation, Delta Normal and Age Weighted Historical Simulation that can be effectively used as risk management tool for Malaysian derivatives market particularly the Malaysian Palm Oil Futures (FCPO) market. The back testing process was conducted to study the number of violations of each models produced and the exceptions were tested using Kupiec Proportion of Failure (POF) test to find the most accurate model. The study revealed that the Age Weighted Model was the most effective and robust compared to the other two models. Age Weighted potentially can be a viable alternative method of market assessment along with more complex models such as Monte Carlo Simulation and GARCH 2015 Thesis NonPeerReviewed text en /5053/1/s812942.pdf text en /5053/2/s812942_abstract.pdf Thirunavukkarasu, L K. Suppiah (2015) Comparison study of different value at risk models and their effectiveness on the Malaysian palm oil futures (FCPO) market. Masters thesis, Universiti Utara Malaysia.
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Electronic Theses
url_provider http://etd.uum.edu.my/
language English
English
topic HG Finance
spellingShingle HG Finance
Thirunavukkarasu, L K. Suppiah
Comparison study of different value at risk models and their effectiveness on the Malaysian palm oil futures (FCPO) market
description Market risk is an important element of derivatives trading and can cause derivatives market participants to suffer substantial amount of loss if not managed properly. Value at Risk (VaR) is a tool that has been used to manage market risk particularly in the developed markets. This research tries to identify which VaR model out of three models namely Historical Simulation, Delta Normal and Age Weighted Historical Simulation that can be effectively used as risk management tool for Malaysian derivatives market particularly the Malaysian Palm Oil Futures (FCPO) market. The back testing process was conducted to study the number of violations of each models produced and the exceptions were tested using Kupiec Proportion of Failure (POF) test to find the most accurate model. The study revealed that the Age Weighted Model was the most effective and robust compared to the other two models. Age Weighted potentially can be a viable alternative method of market assessment along with more complex models such as Monte Carlo Simulation and GARCH
format Thesis
author Thirunavukkarasu, L K. Suppiah
author_facet Thirunavukkarasu, L K. Suppiah
author_sort Thirunavukkarasu, L K. Suppiah
title Comparison study of different value at risk models and their effectiveness on the Malaysian palm oil futures (FCPO) market
title_short Comparison study of different value at risk models and their effectiveness on the Malaysian palm oil futures (FCPO) market
title_full Comparison study of different value at risk models and their effectiveness on the Malaysian palm oil futures (FCPO) market
title_fullStr Comparison study of different value at risk models and their effectiveness on the Malaysian palm oil futures (FCPO) market
title_full_unstemmed Comparison study of different value at risk models and their effectiveness on the Malaysian palm oil futures (FCPO) market
title_sort comparison study of different value at risk models and their effectiveness on the malaysian palm oil futures (fcpo) market
publishDate 2015
url http://etd.uum.edu.my/5053/
_version_ 1696978274876391424
score 13.251813

相似書籍