Value at risk analysis for equityinvestment at Thai market

Abstract

Representing one of the key measurements of risk management, Value-at-Risk turns to be the influencing tool,which usually interprets the strength of financial institution and indications for the portfolio management. The study explores two fundamental methodologies for Value-at-Risk calculations, i.e. Historical Simulation and Monte Carlo Simulation, in conjunction with the corresponding performances of the relevant Stock Exchange of Thailand SET50 portfolios, employing the data covering the period of year 2002 until the year 2012 on a quarterly basis. The empirical result indicates that historical simulation generates the relative higher performance measurements as well as the larger expected losses and Monte Carlo simulation demonstrates relatively higher degree of expected volatility.