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|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||Statistics to Oct 2018:||Visitors: 216
|Appears in Collections:||Journal Article|
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