期刊名称：South East European Journal of Economics and Business
印刷版ISSN：1840-118X
出版年度：2014
卷号：9
期号：2
页码：21-32
DOI：10.2478/jeb-2014-0001
语种：English
出版社：Walter de Gruyter GmbH
摘要：The study evaluated the sensitivity of the Value- at- Risk (VaR) and Expected Shortfalls (ES) with respect to portfolio allocation in emerging markets with an index portfolio of a developed market. This study utilised different models for VaR and ES techniques using various scenario-based models such as Covariance Methods, Historical Simulation and the GARCH (1, 1) for the predictive ability of these models in both relatively stable market conditions and extreme market conditions. The results showed that Expected Shortfall has less risk tolerance than VaR based on the same scenario-based market risk measures
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