Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan

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  • Additional Information
    • Publication Information:
      Pakistan Institute of Development Economics, 2012.
    • Publication Date:
      2012
    • Abstract:
      Sound risk management practices by financial institution are critical to the stability of the institutions and to the sustainability of economic growth. We evaluate market risk based on the Value-at-Risk (VaR) approach for the KSE100 index return series over the period January 2001–June 2012. We estimate the conditional quantiles of the loss distribution under different distributional assumptions. Our back-testing results show that the procedure based on the Extreme Value Theory (EVT) performs better than methods which ignore the heavy tails of the innovations or the heteroskadasticity in returns. Analysis of Pre- and Post-Global Financial Crisis suggests that EVT based VaR measures which incorporate market dynamics may be helpful in managing market risk.
    • ISSN:
      00309729
    • Rights:
      © The Pakistan Development Review 2012
    • Accession Number:
      edsjsr.23734771
  • Citations
    • ABNT:
      SYEDA RABAB MUDAKKAR; JAMSHED Y. UPPAL. Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan. The Pakistan Development Review, [s. l.], v. 51, n. 4, p. 399, 2012. Disponível em: . Acesso em: 19 nov. 2019.
    • AMA:
      Syeda Rabab Mudakkar, Jamshed Y. Uppal. Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan. The Pakistan Development Review. 2012;51(4):399. http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsjsr&AN=edsjsr.23734771&custid=s8280428. Accessed November 19, 2019.
    • APA:
      Syeda Rabab Mudakkar, & Jamshed Y. Uppal. (2012). Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan. The Pakistan Development Review, 51(4), 399. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsjsr&AN=edsjsr.23734771&custid=s8280428
    • Chicago/Turabian: Author-Date:
      Syeda Rabab Mudakkar, and Jamshed Y. Uppal. 2012. “Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan.” The Pakistan Development Review 51 (4): 399. http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsjsr&AN=edsjsr.23734771&custid=s8280428.
    • Harvard:
      Syeda Rabab Mudakkar and Jamshed Y. Uppal (2012) ‘Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan’, The Pakistan Development Review, 51(4), p. 399. Available at: http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsjsr&AN=edsjsr.23734771&custid=s8280428 (Accessed: 19 November 2019).
    • Harvard: Australian:
      Syeda Rabab Mudakkar & Jamshed Y. Uppal 2012, ‘Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan’, The Pakistan Development Review, vol. 51, no. 4, p. 399, viewed 19 November 2019, .
    • MLA:
      Syeda Rabab Mudakkar, and Jamshed Y. Uppal. “Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan.” The Pakistan Development Review, vol. 51, no. 4, 2012, p. 399. EBSCOhost, search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsjsr&AN=edsjsr.23734771&custid=s8280428.
    • Chicago/Turabian: Humanities:
      Syeda Rabab Mudakkar, and Jamshed Y. Uppal. “Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan.” The Pakistan Development Review 51, no. 4 (2012): 399. http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsjsr&AN=edsjsr.23734771&custid=s8280428.
    • Vancouver/ICMJE:
      Syeda Rabab Mudakkar, Jamshed Y. Uppal. Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan. The Pakistan Development Review [Internet]. 2012 [cited 2019 Nov 19];51(4):399. Available from: http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsjsr&AN=edsjsr.23734771&custid=s8280428