International Journal of Science , Engineering and Management (IJSEM)

Monthly Journal for Science , Engineering and Management

Volume2,November 2017,

Topic : Value at Risk (VaR) using statistical method

Authors:Amir Ahmad Dar || N. Anuradha

Abstract:The Value at Risk (VaR) is a technique that is used in risk management to measure the amount of risk associated with an investor’s or a company’s portfolio within a specified time frame. This research concludes that the VaR is an extremely important, but fragile risk measure. It is also important for decision-making process for proper implementation and precision of estimates. It has proven to be an effective and intuitive risk measure with convenient properties when calculated and used appropriately to the market conditions and risk management needs. Here in this paper, we will try to understand how the techniques are working actually by making certain experiments on data. The data is taken from www.yahoofinance.com of Mc Donald’s from 1st January 2000 to 31st December 2015 on monthly basis. The data is first tested for Normality with chi-square test and the different characteristics are validated by different graphs. The necessary parameters are estimated by taking the help of Minitab and Excel. The main aim is to calculate the VaR by specifying the confidence intervals, time period, the mean and the standard deviation and the behavior of the VaR using the Anderson-Darling statistic....

Keywords: Value at Risk (VaR), Mc Donald’s, Chi square test, Anderson-Darling statistic.

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DOI: 01.1617/vol4/iss11/pid41087


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Editor-in-Chief

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Dr.Muhammad Ishtiaq,
Mirpur University of
Science & Technology,
Mirpur, Azad Kasmir.

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IMPACT FACTOR: 2.7

ISSN(Online): 2456-1304

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Thomson Reuters ID : q-6288-2016.
ORCiD Research ID : 0000-0001-9540-6799

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ACCEPTANCE RATIO: 25%
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Journal Code : IJSEM
Electronic ISSN : 2456-1304
Impact Factor : 2.7
Frequency : Monthly
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