Value-at-Risk: the Relation with Profit and Other Risk Indicators
Value-at-Risk is perhaps the most distinguish terminology in risk management area. Due to its high popularity, some people treat it as the only risk indicator for a company. When evaluate the "risk and return" relation for decision making, they sometimes solely consider VaR as the risk ind...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2007
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/21526/ |
| _version_ | 1848792263347404800 |
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| author | Li, Shujia |
| author_facet | Li, Shujia |
| author_sort | Li, Shujia |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Value-at-Risk is perhaps the most distinguish terminology in risk management area. Due to its high popularity, some people treat it as the only risk indicator for a company. When evaluate the "risk and return" relation for decision making, they sometimes solely consider VaR as the risk indicator. This dissertation has tested VaR's predicable power on banks' return parameter- profit value and found no relationship between VaR and profit. Three other risk indicators, namely derivative usage, market beta and leverage ratio have been tested against profit. It is found that Derivative and Beta both positively related to Profit while Leverage has no relationship with Profit.
The relationships between VaR and the other three risk indicators also have been tested in order to find whether VaR has provided consistent risk information with other risk indicators. The results show Derivative has a positive relationship with VaR while Leverage is negatively related to VaR. Beta is found could not explain VaR at all. The dissertation is finally concluded that VaR is not a reliable risk indicator. |
| first_indexed | 2025-11-14T18:41:37Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-21526 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:41:37Z |
| publishDate | 2007 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-215262018-01-08T11:06:59Z https://eprints.nottingham.ac.uk/21526/ Value-at-Risk: the Relation with Profit and Other Risk Indicators Li, Shujia Value-at-Risk is perhaps the most distinguish terminology in risk management area. Due to its high popularity, some people treat it as the only risk indicator for a company. When evaluate the "risk and return" relation for decision making, they sometimes solely consider VaR as the risk indicator. This dissertation has tested VaR's predicable power on banks' return parameter- profit value and found no relationship between VaR and profit. Three other risk indicators, namely derivative usage, market beta and leverage ratio have been tested against profit. It is found that Derivative and Beta both positively related to Profit while Leverage has no relationship with Profit. The relationships between VaR and the other three risk indicators also have been tested in order to find whether VaR has provided consistent risk information with other risk indicators. The results show Derivative has a positive relationship with VaR while Leverage is negatively related to VaR. Beta is found could not explain VaR at all. The dissertation is finally concluded that VaR is not a reliable risk indicator. 2007 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/21526/1/Dissertation1.pdf Li, Shujia (2007) Value-at-Risk: the Relation with Profit and Other Risk Indicators. [Dissertation (University of Nottingham only)] (Unpublished) Value-at-Risk risk indicator panel data |
| spellingShingle | Value-at-Risk risk indicator panel data Li, Shujia Value-at-Risk: the Relation with Profit and Other Risk Indicators |
| title | Value-at-Risk: the Relation with Profit and Other Risk Indicators |
| title_full | Value-at-Risk: the Relation with Profit and Other Risk Indicators |
| title_fullStr | Value-at-Risk: the Relation with Profit and Other Risk Indicators |
| title_full_unstemmed | Value-at-Risk: the Relation with Profit and Other Risk Indicators |
| title_short | Value-at-Risk: the Relation with Profit and Other Risk Indicators |
| title_sort | value-at-risk: the relation with profit and other risk indicators |
| topic | Value-at-Risk risk indicator panel data |
| url | https://eprints.nottingham.ac.uk/21526/ |