Relook at the VaR Computation Method Recommended by National Stock Exchange of India (Record no. 29673)

MARC details
000 -LEADER
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
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        Main Library Main Library 08/09/2008 0.00   AR9804 23/09/2014 0.00 23/09/2014 Articles

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