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Home > An Application of Value at Risk and Expected Shortfall to Controlling Mechanism of Systematic and Idiosyncratic Risk

An Application of Value at Risk and Expected Shortfall to Controlling Mechanism of Systematic and Idiosyncratic Risk

Thesis Info

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External Link

Author

Nasir, Adeel

Program

PhD

Institute

COMSATS University Islamabad

City

Islamabad

Province

Islamabad.

Country

Pakistan

Thesis Completing Year

2019

Thesis Completion Status

Completed

Subject

Finance

Language

English

Link

http://prr.hec.gov.pk/jspui/bitstream/123456789/10432/1/Adeel%20Nasir_Finance_2019_Comsats_PRR.pdf

Added

2021-02-17 19:49:13

Modified

2024-03-24 20:25:49

ARI ID

1676724480409

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Risk is an asymmetric position that is related to an adverse situation or loss. It can be measured through severity of loss, not deviation from a well-diversified average. The global financial system faces risk from two dimensions, change in nature due to time (temporal effect) and how different characteristics of quality change (cross-sectional effect). The objective of this research is to find the best-fitting risk and return model in the Pakistani stock market by deploying the Capital Asset Pricing Model (CAPM), Value at Risk (VaR), expected shortfall (ES), size, value, investment and profitability. The study proposes that VaR and ES are relevant risk and return measures as they measure the downside risk, which is relevant to the negative bias and risk-averse behaviour of investors in the market. One hundred-and-twenty-four regression models are analyzed to elaborate the significance of various systematic and idiosyncratic risk factors. The study observes the comparison of systematic risk factors i.e. CAPM, VaR, and ES for both cross-sectional and time-series stock returns. VaR and ES estimate the worst losses at some confidence level. Different confidence levels have different effects and implications. This study uses 95% and 99% levels of confidence to estimate VaR and ES relationship with stock excess returns. The significance of ideosyncratic risk factors i.e. size, value, investment and profitability is tested in an emerging market like Pakistan. The study further checks the investor behaviour by analyzing the impact of risk factors on lower end (20th quantile), median (50th quantile) and high end (80th quantile) stocks excess returns using a quantile regression model. Results suggest that ES completely dominated the systematic risk-control mechanism when estimating the cross-sections of stock excess returns. It is also significant in time-series regression analysis. Market beta has mixed effect on stock returns. It has a negative effect on cross-sections of stock returns but has a strong positive time varying effect. The empirical findings elaborate that VaR and ES are the alternate controlling mechanisms of systematic risk. The quantile regression findings are robust to least square regression results but the key finding is the predictability of VaR and ES for low-end stock returns. The CAPM model performs significantly in median and high-return stocks but insignificantly for stocks with low returns. Among idiosyncratic risk factors, value stocks and growth stocks are most relevant in both time-series and cross-sectional stock excess returns in Pakistan. The size factor has a temporal effect but no cross-sectional effect. Investment and profitability factors are not recognized as the diversifiable risk factor in the Pakistani stock market.
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منصف ہاشمی کی نثری نظمیں

منصف ہاشمی کی نثری نظمیں
نثر اور نظم میں کیا فرق ہے؟ نوراللغات میں ’’نثر‘‘ کی تشریح ان الفاظ میں کی گئی ہے۔ ’’وہ عبارت جو نظم نہ ہو‘‘۔ یعنی لفظ ’’نثر ‘‘ کی اپنی کوئی حقیقت نہیں ہے۔ اسے’’ نظم‘‘کے منفیانہ یا تنسیخی معانی سے ہی پہچانا جائے۔۔۔ نثر کے لغوی معنی ہیں :’’پراگندہ‘‘، ’’بکھرا ہوا‘‘ ۔اس کی صفات میں’’ خشک‘‘، ’’غیر شاعرانہ‘‘ وغیرہ الفاظ تقریباً ہر لغت میں پائے جاتے ہیں۔ نثر کو نظم سے قریب ترلانے کے لیے جو حربے استعمال کیے گئے ان میں جملوں کے آخری الفاظ کا مقفیٰ ہونا شرطِ اول تھی۔ گویا نثر پر نظم کو مسلط کرنا شرطِ اول تھی، نہ کہ نظم پر نثر کی فوقیت کو جتانا۔ درحقیقت نثر نگاری دوسرے درجے کی ادبی کاوش ہے جب کہ نظم گوئی سرِ فہرست تھی۔ بیسویں صدی کے آخری تیس چالیس برسوں میں ’’نثری نظم ‘‘ کو ادبی جریدوں میں جگہ ملنی شروع ہوئی۔ لیکن اردو نے کبھی اس بات کو تسلیم نہیں کیا کہ’’ غزل گو‘‘یا ’’نظم گو‘‘کی جگہ ’’غزل نویس‘‘یا ’’نظم نویس‘‘ بطور اصطلاح تسلیم کیا جائے۔ ’’سخن‘‘ کا مطلب ’’بات‘‘ نہیں بلکہ’’موزوں بات‘‘ تسلیم کیا گیا ۔ا س کے لوازمات میں آہنگ ، لہجہ (صوت) ،زحافات کو صفِ اول میں جگہ دی گئی۔
منصف ہاشمی کو فیس بک اور رسائل کی وساطت سے میں دو دہائیوں سے پڑھ رہا ہوں۔ ارکان اور زحافات سے معرا ہونے کے باوجود ان کا آہنگ ایسے بیانیہ پر مبنی ہے جس میں نظم کی خصوصیات موجود ہیں۔ ترصیع، تجنیس، سجع، آہنگ اور سب سے بڑھ کر امیجری، شعر یات کے تقاضوں کو پورا کرتی ہیں۔ مترنم نہ ہونے کے باوجود ان کا بیانیہ شاعرانہ غنایت کا حامل ہے۔ ان کی نظمیں مضمون نگاری کے حوالے سے خیال بندی اور معاملہ بندی کی شرائط پر بھی پورا اترتی ہیں۔
موضوعات کے...

MIND OVER MATTER: THE REQUIRED PHYSICAL AND SOCIAL ACTIVITIES FOR COGNITIVE ALERTNESS AMONG PAKISTANI GERIATRIC POPULATION

Background and Objective: Aging is influenced by culture, individual experiences, and socio-demographic characteristics along with societal expectations. Cognitive functioning and activity level in geriatric population may alter their participation in daily life activities thus this study aims to explore the required physical and social activities for cognitive alertness among Pakistani Geriatric population. Methodology: An observation based study of 169 aging individuals who performed on MoCA for cognitive functioning and interviewed on IPAQ for duration of physical activity in everyday life. Results: It is an observational study, conducted among the geriatric population of different areas of Pakistan. A total number of 169 individuals participated out of which 59 % were males and 40 % were females with a majority of the population 74% falling between 65-75 years of age. It was found that 59% of the male and only 19% of the female had 22 score on MoCA for cognitive functioning and these individuals were practicing physical activities such as brisk walk for 3 days a week for more than 40 minutes and are involve at least once a week in social activities. Conclusion: The research finding concluded that physical activities and social gathering both has impact on cognitive function of geriatric population to participate actively in daily activities.

Microwave Assisted Sysnthesis and Bioactive Evaluation of N-Phenylanthranilic Acid, Acridone and Acridine Derivatives

This dissertation based on the investigation of environmental friendly microwave heating for the synthesis of N-phenylanthranilic acid, acridone and acridine molecules with reference to their medicinal importance. Present dissertation consist of four chapters, each chapter describe different library of synthetic compounds their biological screening and structure characterization by spectroscopic analysis. Each chapter has its own compounds, figure, and reference number. Chapter one consists of introduction of microwave heating in different field of chemistry, its merits over conventional heating and its utilization in the synthesis of different bioactive heterocyclic molecules. Microwave assisted synthesis of Nphenylanthranilic acid performed by Ullmann reaction. Thirty compounds 35-64 were screen against urease, α-chymotrypsin, MCF-7 anticancer cells, antileishmanial, and bacterial multidrug resistance activities. In case of urease activity, twenty-three compounds were active with variable inhibitory values. Most active among them was compound 42 with three-fold inhibition of urease enzyme then the standard drug thiourea. Out of thirty derivatives eight derivatives have shown a -chymotrypsin inhibition while only one compound 50 was active against MCF-7 cancer cells lines. However good inhibition result obtains for bacterial multidrug resistance and antileishmanial where most of the compounds were significant active. Whereas noticeable antileishmanial result obtained for compounds 39, 40, 42, 48, 51 and 56 which can be contributed in finding of some lead molecule for further studies on antileishmanial drug. Chapter two describes the synthesis of Acridine-9-one analogs 48-71 by cyclization of N-phenylanthranilic acid under microwave heating and there in-vitro enzyme inhibition. All tested compounds inhibited α-glucosidase enzyme very significantly, compounds 54 and 64 even better than the standard acarbose. Similarly, for β-glucuronidase compounds 49, 51, and 52 have demonstrated improved activity than standard. Moderate anticancer, antibacterial and antifungal result obtained while compound 61 seen as good antioxidant agent. These properties offered to ascertain therapeutic potential of acridone moieties. In the course of research, Library of 9-oxo-N''-[(Z)-phenylmethylidene]-9,10dihydro-4-acridinecarbohydrazide analogs 7-47 synthesis under microwave irradiation performed and screen against in-vitro antileishmanial, antibacterial and antifungal activities. Compounds 25, 29, 33, 35, 36, 37, 39 and 45 have demonstrated good antileishmanial activity tested towards organism L. major. Majority of compounds have shown good inhibition against different strain of bacteria. Compound 30, 28 and 32 seen as most active against S. aureus, same as compounds 36-42, 44 and 46 towards C. diphtheria. Compound 40 found to be most active towards S. paratyphi A while all other derivatives have shown variable inhibition result against different bacterial strains. Eighteen derivatives found to be moderately active towards fungal species, among them compound 42 has shown highest inhibition against A. niger fungal strain. Last chapter of dissertation comprises of synthesis of acridine analogs with the use of clean and efficient microwave heating. Synthesis of 9-phenylacridine derivatives 39-52 performed by Bernthsen reaction in less time than conventional method and without the hindrance of unwanted side products formation. All synthesized molecules antileishmanial inhibition potential was than screened. Biological screening of all microwaves assisted synthesized analogs demonstrated that present research work would be helpful in the structure modifications of these scaffolds to enhance their therapeutic potential.