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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

Access Option

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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5 لوک گیت

لوک گیت

 

                پنجابی لوک گیتاں دا دامن بڑا وسیع اے۔ بچے دے جمن توں لے کے بڈھے دے مرن تک دے لوک گیتاں نال ایہہ شاعری مالا مال اے، لوک گیت لوکاں دے دلاں دیاں دھڑکناں تے عام لوکاں دیاں خوشیاں دیاں منہ بولدیاں تصویراں ہوندے نیں۔ لوک گیت اوہناں وَن سونے پھلاں وانگوں ہوندے نیں جیہڑے مٹی دی زرخیزی پاروں دھرتی وچوں آپ مہارے پنگر پیندے نیں۔ تے دماغ وچ لہہ جان والی خوشبو نال دھرتی نوں خوبصورتی بخشدے نیں۔ ایہہ لوک گیت عام لوکاں دے دکھاں تے درداں دیاں کہانیاں ہوندے نیں تے ایہدے نال نال کسے وی علاقے دیاں ثقافتی قدراں دے ذخیرے وی ہوندے نیں۔

                لوک گیت کسے وی قوم دا بڑاوڈا نمونہ ہوندے نیں۔ ایہناں وچ نہ صرف قوم دے رہن سہن دے ڈھنگ بلکہ اوس وسیب دیاں من موہنیاں تصویراں وی ہوندیاں نیں۔ لوک گیتاں وچ صدیاں دے تجربے، مت دیاں گلاں، قوم دے رسم ورواج، گزرے ہوئے ویلے دی جھلک، سوہنی دھرتی دا رنگ، اُگن والیاں فصلاں، دریاواں، ندیاں دیاں کانگاں، طوفاناں تے جھکھڑاں توں وکھ ریت دے ٹیلے، نخلستان تے ہرے بھرے میداناں دا ذکر ملدا اے۔

                ایہہ لوک گیت ساڈے سوچ تے...

رتن ہندی کے دعوی صحابیت کا تحقیقی جائزہ

Ratan Hindi was born in the Indian side of the Punjab in the 6th AH. He claimed that he had met Prophet Muḥammad (PBUH) in Madinah; had accepted Islam in his presence; joined the wedding ceremony of Fatimah (RA) and had also took part in the battle of trench (Ghazwah-e-Khandaq). He also affirmed that his long age was due to the blessings of the Prophet (PBUH) who prayed for his long life. It is also said that he had witnessed the miracle of the splitting of moon in India. The present paper, after proper investigation conducted in the light of original sources, i.e. Ḥadith and its Sciences, books of Rijal and history of Islam prove his claim of Ṣahabiyyat to be false and baseless. It also presents definition of a Ṣahabi (Prophet’s Companion) along with conditions deemed by scholars of Ḥadith for such a position.

Development of a Strategy to Improve Implementation of Erp in Pakistan

It is evident from the last few decades that world is rapidly moving towards information technology and the developing countries are also becoming part of it. Organizations are transforming from their traditional way of doing business to new IT-based solutions for their survival, growth and competitiveness. Different Enterprise Systems are present in the market but Enterprise Resource Planning (ERP) is one of the most highly recognized solutions in the corporate world due to various tangible benefits like-improved administrative control and to gain real time information for making decisions right on time. Normally, ERP consist of packaged software embedded with world best practices and composed of different modules like Human Resource Management, Marketing, Finance, Productions, Sales etc. These modules are closely integrated with each other to provide cross organizational control and improved visibility of different business functions. The software packages are customized up to certain limits and based on the specific needs of the organizations. ERP is considered as a very important advancement in the field of technology of the corporate world in 1990. The principal reason of ERP failure is commonly associated with poor management of implementation process. Implementing ERP is one of the riskiest decisions that organizations take due to high cost involvement and complex implementation process. Many researchers have pointed out high failure rate in ERP implementation projects in terms of cost overrun, schedule overrun and failure to achieve the desire objectives. This implies that an in-depth research study is required to mitigate the failures factors. ‘ERP implementation failures’ is one of the most common topic discussed by the researchers and industry experts. But there are very few researchers who talk about the mitigation strategies to overcome these failure issues. Literature shows that mostly available standards and guidelines are for the developed instead for the developing countries. Whereas the developing countries are also moving towards enterprise systems rapidly. There are some specific challenges from which developing countries have to pass through that are entirely different conditions from the implied assumption of technology advanced countries. Pakistan is also one of those countries where many organizations are moving towards ERP system but the comparative growth of ERP implementation is not promising like other countries of the world and of South Asia with similar economies and cultural back ground. The main reason behind this is that there is lack of comprehensive guidelines for developing countries. No study in available in the literature that contains guidelines for ERP implementation projects for the in industry in Pakistan. It is evident from the previous studies that to make a project successful there are some critical factors that can differ from region to region which require special care and must be strictly monitored and controlled. The study will provide strategy that will be helpful to handle issues faced by the industry in Pakistan during the implementation of ERP. These identified factors will guide what to avoid and what to practice to achieve success. This study is based on the exploratory mixed method of sequential research design in depth relationship among the variables and to cross validate the variable discovered. The basic objective to use qualitative method is to develop the strategy and quantitative method is to validate the component of strategy. CSF and CFF have been explored using quantitative and qualitative methods for data collection and then results are analyzed. Qualitative data has been collected using semi-structured interviews from the people who have core involvement in ERP implementation process from both client organizations and the vendor organization of Pakistan. Similarly, quantitative data has been collected by sharing online survey using self-established instrument with the people involved in in ERP implementation process. The survey instrument was developed containing 48 questions based on the mapping of the factors obtained from literature review and interviews. Different tools have been used for data analysis like NVIVO for qualitative data analysis and SPSS, EFA, PLS-structure modeling for quantitative data analysis. Finally, the results are merged to reach on final conclusion. Case study methodology is used to implement and validate the proposed strategy in a company where ERP is in process of implementation. The core objective to conduct this research study is to formulate an effective ERP implementation strategy that can reduce cost, minimize complexity and support organizations to gain the desired outcomes. Different components of strategy are explored like Role of Top Management, Role of Project Management, Change Management, Strategy to Involve Users in Trainings, Business Process Reengineering (BPR) Techniques and Role of Vendor are explored. Components of proposed guidelines are validated using face validity, content validity. The proposed strategy will provide a structured approach based on the critical factors in the implementation part and will be a huge contribution in the body of knowledge for not only the organizations in Pakistan but also in other developing countries and will work as business game changer.