Relook at the VaR Computation Method Recommended by National Stock Exchange of India (Record no. 29673)
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fixed length control field | 01454pab a2200205 454500 |
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
fixed length control field | 140923b0 xxu||||| |||| 00| 0 eng d |
040 ## - CATALOGING SOURCE | |
Transcribing agency | Welingkar Institute of Management Development & Research, Mumbai |
Original cataloging agency | Welingkar Institute of Management Development & Research, Mumbai |
041 ## - LANGUAGE CODE | |
Language code of text/sound track or separate title | ENG |
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
Classification number | |
Item number | |
100 ## - MAIN ENTRY--PERSONAL NAME | |
Personal name | Das Atanu |
245 ## - TITLE STATEMENT | |
Title | Relook at the VaR Computation Method Recommended by National Stock Exchange of India |
250 ## - EDITION STATEMENT | |
Edition statement | 9 |
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
Place of publication, distribution, etc. | |
Name of publisher, distributor, etc. | Sep 2008 |
Date of publication, distribution, etc. | 0 |
300 ## - PHYSICAL DESCRIPTION | |
Extent | 45-53 Pp. |
490 ## - SERIES STATEMENT | |
Volume/sequential designation | 14 |
520 ## - SUMMARY, ETC. | |
Summary, etc. | This paper addresses the question of whether the VaR estimation technique, originally prescribed by Riskmetrics and recommended after adaptation by the NSE, adequate enough to estimate VaR in the changing Indian market scenario, especially during the past one year when the markets exhibited considerable activity. This study describes the empirical investigation carried out centered on computing and backtesting VaR estimates of several indices designed by the NSE and Sensex values using recommended Exponentially Weighted Moving Average (EWMA) method and the dynamic volatility model based on GARCH. The results indicate that the GARCH-based VaR estimation method outperforms the officially recommended EWMA method; hence, the study advocates re-examination of the recommended method by appropriate bodies. |
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | NSE |
856 ## - ELECTRONIC LOCATION AND ACCESS | |
Uniform Resource Identifier | <a href="http://192.168.6.13/libsuite/mm_files/Articles/AR9804.pdf">http://192.168.6.13/libsuite/mm_files/Articles/AR9804.pdf</a> |
906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) | |
a | 28761 |
Withdrawn status | Lost status | Damaged status | Not for loan | Home library | Current library | Date acquired | Cost, normal purchase price | Total Checkouts | Full call number | Barcode | Date last seen | Cost, replacement price | Price effective from | Koha item type |
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Main Library | Main Library | 08/09/2008 | 0.00 | AR9804 | 23/09/2014 | 0.00 | 23/09/2014 | Articles |