Estimating and forecasting value at risk and expected shortfall: a backstory of Malaysia stock market during global financial crisis / Ahmad Fauze Abdul Hamit

A myriad of factors leading to the calamity of the financial crisis have been widely examined. Yet, past studies merely focused on the major causes while ignoring risk mismanagement - another important aspect which could be detrimental in certain circumstances. This study driven by the latest intent...

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Main Author:	Abdul Hamit, Ahmad Fauze
Format:	Thesis
Language:	English
Published:	2018
Subjects:	Stock exchanges Insider trading in securities
Online Access:	https://ir.uitm.edu.my/id/eprint/37208/1/37208.pdf
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id	my-uitm-ir.37208
record_format	uketd_dc
spelling	my-uitm-ir.372082022-11-01T09:19:35Z Estimating and forecasting value at risk and expected shortfall: a backstory of Malaysia stock market during global financial crisis / Ahmad Fauze Abdul Hamit 2018 Abdul Hamit, Ahmad Fauze Stock exchanges. Insider trading in securities Stock price indexes. Stock quotations A myriad of factors leading to the calamity of the financial crisis have been widely examined. Yet, past studies merely focused on the major causes while ignoring risk mismanagement - another important aspect which could be detrimental in certain circumstances. This study driven by the latest intention of Basel Committee to replace the application of VaR to ES due to the failure of VaR during the financial crisis. We examine the performance of VaR and ES by using various methods during calm and stormy period in Malaysia stock market. 24 daily return series from TOP30 FTSE Bursa Malaysia KLCI were collected spanning from January 2007 to June 2009 covering the stormy period of crisis, as well as from July 2010 to December 2016 covering the calm period. Our findings suggest that the application of VaR is still relevant and superior to ES in Malaysia stock market with the higher confidence level which is 99% is more preferable to be used. Additionally, we also found that VaR is very accurate during calm period by using HS and GARCH with normal distribution while FHS is more suitable on the calculation of ES. Furthermore, the chaotic market condition during financial crisis made the prediction become less accurate. 2018 Thesis https://ir.uitm.edu.my/id/eprint/37208/ https://ir.uitm.edu.my/id/eprint/37208/1/37208.pdf text en public masters Universiti Teknologi MARA (UiTM) Faculty of Business Management Bujang, Imbarine
institution	Universiti Teknologi MARA
collection	UiTM Institutional Repository
language	English
advisor	Bujang, Imbarine
topic	Stock exchanges Insider trading in securities Stock exchanges Insider trading in securities
spellingShingle	Stock exchanges Insider trading in securities Stock exchanges Insider trading in securities Abdul Hamit, Ahmad Fauze Estimating and forecasting value at risk and expected shortfall: a backstory of Malaysia stock market during global financial crisis / Ahmad Fauze Abdul Hamit
description	A myriad of factors leading to the calamity of the financial crisis have been widely examined. Yet, past studies merely focused on the major causes while ignoring risk mismanagement - another important aspect which could be detrimental in certain circumstances. This study driven by the latest intention of Basel Committee to replace the application of VaR to ES due to the failure of VaR during the financial crisis. We examine the performance of VaR and ES by using various methods during calm and stormy period in Malaysia stock market. 24 daily return series from TOP30 FTSE Bursa Malaysia KLCI were collected spanning from January 2007 to June 2009 covering the stormy period of crisis, as well as from July 2010 to December 2016 covering the calm period. Our findings suggest that the application of VaR is still relevant and superior to ES in Malaysia stock market with the higher confidence level which is 99% is more preferable to be used. Additionally, we also found that VaR is very accurate during calm period by using HS and GARCH with normal distribution while FHS is more suitable on the calculation of ES. Furthermore, the chaotic market condition during financial crisis made the prediction become less accurate.
format	Thesis
qualification_level	Master's degree
author	Abdul Hamit, Ahmad Fauze
author_facet	Abdul Hamit, Ahmad Fauze
author_sort	Abdul Hamit, Ahmad Fauze
title	Estimating and forecasting value at risk and expected shortfall: a backstory of Malaysia stock market during global financial crisis / Ahmad Fauze Abdul Hamit
title_short	Estimating and forecasting value at risk and expected shortfall: a backstory of Malaysia stock market during global financial crisis / Ahmad Fauze Abdul Hamit
title_full	Estimating and forecasting value at risk and expected shortfall: a backstory of Malaysia stock market during global financial crisis / Ahmad Fauze Abdul Hamit
title_fullStr	Estimating and forecasting value at risk and expected shortfall: a backstory of Malaysia stock market during global financial crisis / Ahmad Fauze Abdul Hamit
title_full_unstemmed	Estimating and forecasting value at risk and expected shortfall: a backstory of Malaysia stock market during global financial crisis / Ahmad Fauze Abdul Hamit
title_sort	estimating and forecasting value at risk and expected shortfall: a backstory of malaysia stock market during global financial crisis / ahmad fauze abdul hamit
granting_institution	Universiti Teknologi MARA (UiTM)
granting_department	Faculty of Business Management
publishDate	2018
url	https://ir.uitm.edu.my/id/eprint/37208/1/37208.pdf
_version_	1783734401426784256

Estimating and forecasting value at risk and expected shortfall: a backstory of Malaysia stock market during global financial crisis / Ahmad Fauze Abdul Hamit

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