Value-at-risk for shares of companies listed under the financial sector of Malaysian Stock Exchange (nilai berisiko untuk saham syarikat dalam sektor kewangan di Bursa Saham Malaysia)

Value-at-risk for shares of companies listed under the financial sector of Malaysian Stock Exchange (nilai berisiko untuk saham syarikat dalam sektor kewangan di Bursa Saham Malaysia)

Risk management is essential since stock prices of a company are often exposed to high level of market risk. One way to evaluate market risk is by determining the value-at-risk, which is the maximum probable loss that a financial instrument is exposed to at a given time. In this research, the val...

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Main Authors: Nur Atikah Mohamed Rozali, Humaida Banu Samsudin, Prevena Nambiar A/P Sridahran
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2015
Online Access:http://journalarticle.ukm.my/9476/
http://journalarticle.ukm.my/9476/
http://journalarticle.ukm.my/9476/1/jqma-11-1-paper1.pdf
id ukm-9476
recordtype eprints
spelling ukm-94762016-12-14T06:50:03Z http://journalarticle.ukm.my/9476/ Value-at-risk for shares of companies listed under the financial sector of Malaysian Stock Exchange (nilai berisiko untuk saham syarikat dalam sektor kewangan di Bursa Saham Malaysia) Nur Atikah Mohamed Rozali, Humaida Banu Samsudin, Prevena Nambiar A/P Sridahran, Risk management is essential since stock prices of a company are often exposed to high level of market risk. One way to evaluate market risk is by determining the value-at-risk, which is the maximum probable loss that a financial instrument is exposed to at a given time. In this research, the value-at-risk was evaluated for all shares of companies listed under the financial sector of Malaysian Stock Exchange using non-parametric approach and Monte Carlo simulation method. The comparisons of risk faced by the shares of companies were also done. These methods were chosen to avoid wrong estimation of the value-at-risk if the data is fitted to an inaccurate distribution. The value-at-risk was determined using the non-parametric approaches, which are basic historical simulation, bootstrap historical simulation, age-weighted historical simulation and volatility-weighted historical simulation methods. Monte Carlo simulation was applied using the Geometric Brownian Motion. Findings of this study found that the shares of all companies produced slightly different results for each of the method with different level of sensitivity. The shares of Pan Malaysia Capital Berhad are the most risky because it produced the highest value-at-risk. The shares of LPI Capital Berhad and Public Bank Berhad are the least risky as they produced the lowest value-at-risk in comparison with the shares of all the other companies. Penerbit Universiti Kebangsaan Malaysia 2015-07 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/9476/1/jqma-11-1-paper1.pdf Nur Atikah Mohamed Rozali, and Humaida Banu Samsudin, and Prevena Nambiar A/P Sridahran, (2015) Value-at-risk for shares of companies listed under the financial sector of Malaysian Stock Exchange (nilai berisiko untuk saham syarikat dalam sektor kewangan di Bursa Saham Malaysia). Journal of Quality Measurement and Analysis, 11 (1). pp. 1-10. ISSN 1823-5670 http://www.ukm.my/jqma/jqma11_1a.html
repository_type Digital Repository
institution_category Local University
institution Universiti Kebangasaan Malaysia
building UKM Institutional Repository
collection Online Access
language English
description Risk management is essential since stock prices of a company are often exposed to high level of market risk. One way to evaluate market risk is by determining the value-at-risk, which is the maximum probable loss that a financial instrument is exposed to at a given time. In this research, the value-at-risk was evaluated for all shares of companies listed under the financial sector of Malaysian Stock Exchange using non-parametric approach and Monte Carlo simulation method. The comparisons of risk faced by the shares of companies were also done. These methods were chosen to avoid wrong estimation of the value-at-risk if the data is fitted to an inaccurate distribution. The value-at-risk was determined using the non-parametric approaches, which are basic historical simulation, bootstrap historical simulation, age-weighted historical simulation and volatility-weighted historical simulation methods. Monte Carlo simulation was applied using the Geometric Brownian Motion. Findings of this study found that the shares of all companies produced slightly different results for each of the method with different level of sensitivity. The shares of Pan Malaysia Capital Berhad are the most risky because it produced the highest value-at-risk. The shares of LPI Capital Berhad and Public Bank Berhad are the least risky as they produced the lowest value-at-risk in comparison with the shares of all the other companies.
format Article
author Nur Atikah Mohamed Rozali,
Humaida Banu Samsudin,
Prevena Nambiar A/P Sridahran,
spellingShingle Nur Atikah Mohamed Rozali,
Humaida Banu Samsudin,
Prevena Nambiar A/P Sridahran,
Value-at-risk for shares of companies listed under the financial sector of Malaysian Stock Exchange (nilai berisiko untuk saham syarikat dalam sektor kewangan di Bursa Saham Malaysia)
author_facet Nur Atikah Mohamed Rozali,
Humaida Banu Samsudin,
Prevena Nambiar A/P Sridahran,
author_sort Nur Atikah Mohamed Rozali,
title Value-at-risk for shares of companies listed under the financial sector of Malaysian Stock Exchange (nilai berisiko untuk saham syarikat dalam sektor kewangan di Bursa Saham Malaysia)
title_short Value-at-risk for shares of companies listed under the financial sector of Malaysian Stock Exchange (nilai berisiko untuk saham syarikat dalam sektor kewangan di Bursa Saham Malaysia)
title_full Value-at-risk for shares of companies listed under the financial sector of Malaysian Stock Exchange (nilai berisiko untuk saham syarikat dalam sektor kewangan di Bursa Saham Malaysia)
title_fullStr Value-at-risk for shares of companies listed under the financial sector of Malaysian Stock Exchange (nilai berisiko untuk saham syarikat dalam sektor kewangan di Bursa Saham Malaysia)
title_full_unstemmed Value-at-risk for shares of companies listed under the financial sector of Malaysian Stock Exchange (nilai berisiko untuk saham syarikat dalam sektor kewangan di Bursa Saham Malaysia)
title_sort value-at-risk for shares of companies listed under the financial sector of malaysian stock exchange (nilai berisiko untuk saham syarikat dalam sektor kewangan di bursa saham malaysia)
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2015
url http://journalarticle.ukm.my/9476/
http://journalarticle.ukm.my/9476/
http://journalarticle.ukm.my/9476/1/jqma-11-1-paper1.pdf
first_indexed 2023-09-18T19:54:58Z
last_indexed 2023-09-18T19:54:58Z
_version_ 1777406467685482496

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