An Analysis of Stress Testing For Asian Stock Portfolios.
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...
| Автори: | , , |
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| Формат: | Стаття |
| Мова: | English English |
| Опубліковано: |
ResearchGate
2005
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| Предмети: | |
| Онлайн доступ: | https://eprints.ums.edu.my/id/eprint/21721/1/ABSTRACT.pdf https://eprints.ums.edu.my/id/eprint/21721/2/FULL%20TEXT.pdf |
| _version_ | 1825713595714895872 |
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| author | Brian Edward Dollery Shen Wang Chong Mun Ho |
| author_facet | Brian Edward Dollery Shen Wang Chong Mun Ho |
| author_sort | Brian Edward Dollery |
| collection | UMS |
| description | 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. |
| first_indexed | 2024-03-06T02:59:01Z |
| format | Article |
| id | ums.eprints-21721 |
| institution | Universiti Malaysia Sabah |
| language | English English |
| last_indexed | 2024-03-06T02:59:01Z |
| publishDate | 2005 |
| publisher | ResearchGate |
| record_format | dspace |
| spelling | ums.eprints-217212024-01-25T08:01:53Z https://eprints.ums.edu.my/id/eprint/21721/ An Analysis of Stress Testing For Asian Stock Portfolios. Brian Edward Dollery Shen Wang Chong Mun Ho HG6001-6051 Speculation QA76.75-76.765 Computer software 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. ResearchGate 2005 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/21721/1/ABSTRACT.pdf text en https://eprints.ums.edu.my/id/eprint/21721/2/FULL%20TEXT.pdf Brian Edward Dollery and Shen Wang and Chong Mun Ho (2005) An Analysis of Stress Testing For Asian Stock Portfolios. The IUP Journal of Applied Economics, ICFAI Press. pp. 1-26. ISSN 1442 - 2980 |
| spellingShingle | HG6001-6051 Speculation QA76.75-76.765 Computer software Brian Edward Dollery Shen Wang Chong Mun Ho An Analysis of Stress Testing For Asian Stock Portfolios. |
| title | An Analysis of Stress Testing For Asian Stock Portfolios. |
| title_full | An Analysis of Stress Testing For Asian Stock Portfolios. |
| title_fullStr | An Analysis of Stress Testing For Asian Stock Portfolios. |
| title_full_unstemmed | An Analysis of Stress Testing For Asian Stock Portfolios. |
| title_short | An Analysis of Stress Testing For Asian Stock Portfolios. |
| title_sort | analysis of stress testing for asian stock portfolios |
| topic | HG6001-6051 Speculation QA76.75-76.765 Computer software |
| url | https://eprints.ums.edu.my/id/eprint/21721/1/ABSTRACT.pdf https://eprints.ums.edu.my/id/eprint/21721/2/FULL%20TEXT.pdf |
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