文章基本信息

标题：Value at risk: Evidence from Pakistan Stock Exchange
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作者：Faisal Nawaz ; Muhammad Afzal
期刊名称：African Journal of Business Management
印刷版ISSN：1993-8233
出版年度：2011
卷号：5
期号：17
页码：7474-7480
DOI：10.5897/AJBM11.320
语种：English
出版社：Academic Journals
摘要：The impetus of this work comes from the October 2008 crisis, termed Tsunami of the Financial Markets, which stems from a small problem in US real estate market. It has been observed that this type of events occurs once in a century. To the Green Span, ex-chief of the US Fed, the financial models that have been trusted in the past rendered absurd in the wake of this snowball effect. The study tries to find how the margin calculated on VaR influence the Trade Volume of Pakistani bourse. Pro method was considered to be accurate one than other two models at λ = 0.85, for five hundred days at 99% confidence interval. The study shows that in the case of Slab System, the initial margin charged by the clients fell between 5 and 25%. It has been observed that the cap of margins under VaR system was about 5%. The VaR based margin system has proved to be better than slab system on the empirical as well theoretical grounds.
关键词：Value at risk; financial risk management; financial risk modeling; financial econometric modeling; financial time series; Pakistan