Abstract
Conditional Value-at-Risk (VaR) is currently used by the bankingindustry to measure market risk as it relates to equity risk,currency risk, interest rate risk, and commodity risk. This paperexamines the downside market risk in residential housing usingvarious conditional volatility models. Although there iscontroversy surrounding the use of VaR as a risk managementtool, these concerns are explored through various modelingscenarios. Furthermore, an alternative portfolio is constructedminimizing VaR exposure as a portfolio constraint. The findingsreveal that the conditional volatility models are especially usefulwhen the current downside residential market risk is time-perioddependent because the traditional risk measure based on a longertime series is less influenced by short-term extremes.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
