{"title":"基于历史模拟法的商业银行VaR市场风险测度","authors":"M. Haq","doi":"10.47260/JAFB/1144","DOIUrl":null,"url":null,"abstract":"This paper attempts to picture the impact of the market risk of ten commercial banks located in Bangladesh with the help of a non-parametric model known as the Historical Simulation Approach over the course of eight years. These banks' daily stock prices were used as inputs and analyzed in Microsoft Excel by means of Percentile and LN function. The study revealed market risk exposure as third, second-and first-generation banks from the least to the highest. It also pointed out the ups and downs of these banks' share prices in the selected period. Further analysis showed the portfolio VaR estimation for different time intervals.\n\nJEL classification numbers: G32.\nKeywords: Value-at-risk, Historical Simulation, Market Risk, Confidence Interval.","PeriodicalId":371149,"journal":{"name":"Journal of Applied Finance and Banking","volume":"24 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Measuring Market Risk of Commercial Banks Implementing VaR with Historical Simulation Approach\",\"authors\":\"M. Haq\",\"doi\":\"10.47260/JAFB/1144\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper attempts to picture the impact of the market risk of ten commercial banks located in Bangladesh with the help of a non-parametric model known as the Historical Simulation Approach over the course of eight years. These banks' daily stock prices were used as inputs and analyzed in Microsoft Excel by means of Percentile and LN function. The study revealed market risk exposure as third, second-and first-generation banks from the least to the highest. It also pointed out the ups and downs of these banks' share prices in the selected period. Further analysis showed the portfolio VaR estimation for different time intervals.\\n\\nJEL classification numbers: G32.\\nKeywords: Value-at-risk, Historical Simulation, Market Risk, Confidence Interval.\",\"PeriodicalId\":371149,\"journal\":{\"name\":\"Journal of Applied Finance and Banking\",\"volume\":\"24 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-05-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Applied Finance and Banking\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.47260/JAFB/1144\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Applied Finance and Banking","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.47260/JAFB/1144","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Measuring Market Risk of Commercial Banks Implementing VaR with Historical Simulation Approach
This paper attempts to picture the impact of the market risk of ten commercial banks located in Bangladesh with the help of a non-parametric model known as the Historical Simulation Approach over the course of eight years. These banks' daily stock prices were used as inputs and analyzed in Microsoft Excel by means of Percentile and LN function. The study revealed market risk exposure as third, second-and first-generation banks from the least to the highest. It also pointed out the ups and downs of these banks' share prices in the selected period. Further analysis showed the portfolio VaR estimation for different time intervals.
JEL classification numbers: G32.
Keywords: Value-at-risk, Historical Simulation, Market Risk, Confidence Interval.
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