Backtesting VaR for Hong Kong Financial Stocks
The focus of this paper is to examine the effectiveness of VaR. Thus, 11 financial stocks in Hong Kong have been chosen to be the research subject because Hong Kong is one of the world's most important stock trading centres, and the financial sector plays a vital role in Hong Kong's econom...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2022
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| Online Access: | https://eprints.nottingham.ac.uk/70803/ |
| _version_ | 1848800632802115584 |
|---|---|
| author | Lui, Chun Yin |
| author_facet | Lui, Chun Yin |
| author_sort | Lui, Chun Yin |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The focus of this paper is to examine the effectiveness of VaR. Thus, 11 financial stocks in Hong Kong have been chosen to be the research subject because Hong Kong is one of the world's most important stock trading centres, and the financial sector plays a vital role in Hong Kong's economy. Therefore, the research question is to examine which VaR model, which are historical simulation, historical simulation with volatility adjustment and the parametric approaches, are the most reliable in estimating the potential loss of Hong Kong financial stocks. After conducting backtesting, it is found that the parametric approach is the most reliable VaR model among these three models because the exceedances estimated by this model are mostly consistent with the assumption. |
| first_indexed | 2025-11-14T20:54:39Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-70803 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:54:39Z |
| publishDate | 2022 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-708032023-07-07T09:35:57Z https://eprints.nottingham.ac.uk/70803/ Backtesting VaR for Hong Kong Financial Stocks Lui, Chun Yin The focus of this paper is to examine the effectiveness of VaR. Thus, 11 financial stocks in Hong Kong have been chosen to be the research subject because Hong Kong is one of the world's most important stock trading centres, and the financial sector plays a vital role in Hong Kong's economy. Therefore, the research question is to examine which VaR model, which are historical simulation, historical simulation with volatility adjustment and the parametric approaches, are the most reliable in estimating the potential loss of Hong Kong financial stocks. After conducting backtesting, it is found that the parametric approach is the most reliable VaR model among these three models because the exceedances estimated by this model are mostly consistent with the assumption. 2022-09 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/70803/1/Dissertation_Finalised.pdf Lui, Chun Yin (2022) Backtesting VaR for Hong Kong Financial Stocks. [Dissertation (University of Nottingham only)] |
| spellingShingle | Lui, Chun Yin Backtesting VaR for Hong Kong Financial Stocks |
| title | Backtesting VaR for Hong Kong Financial Stocks |
| title_full | Backtesting VaR for Hong Kong Financial Stocks |
| title_fullStr | Backtesting VaR for Hong Kong Financial Stocks |
| title_full_unstemmed | Backtesting VaR for Hong Kong Financial Stocks |
| title_short | Backtesting VaR for Hong Kong Financial Stocks |
| title_sort | backtesting var for hong kong financial stocks |
| url | https://eprints.nottingham.ac.uk/70803/ |