Please use this identifier to cite or link to this item: https://hdl.handle.net/1959.11/4288
Title: An Analysis of Stress Testing for Asian Stock Portfolios
Contributor(s): Wang, Shen (author); Mun Ho, Chong (author); Dollery, Brian Edward  (author)
Publication Date: 2005
Handle Link: https://hdl.handle.net/1959.11/4288
Abstract: While extreme asset price movements are a common feature of the global financial system, recent financial crises have witnessed an increase in the use of serious stress testing in risk management. This paper examines the performance of a bivariate normal distribution model and a bivariate mixture of two normal distributions model in the institutional context of five Asian stock markets, namely Bangkok, Hong Kong, Seoul, Taipei and Tokyo. To assess the performance of the two models, the data from the five stock markets for the period 4 January 1990 to 28 February 1998 are employed. The results show that the bivariate normal distribution model outperforms the bivariate mixture of two normal distributions model. This seems to suggest that the latter model can more precisely capture the fat-tailed property of left and right tails in return distributions.
Publication Type: Journal Article
Source of Publication: The ICFAI Journal of Applied Economics, 4(5), p. 19-30
Publisher: ICFAI: Institute of Chartered Financial Analysts of India
Place of Publication: Hyderabad, India
ISSN: 0972-6861
Field of Research (FOR): 140207 Financial Economics
Socio-Economic Objective (SEO): 910109 Savings and Investments
Peer Reviewed: Yes
HERDC Category Description: C1 Refereed Article in a Scholarly Journal
Other Links: http://ideas.repec.org/a/icf/icfjae/v04y2005i5p19-30.html
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