Value-at-risk modelling for the Malaysian stock exchange based on Monte Carlo simulation / Zatul Karamah Haji Ahmad Baharul-Ulum

• Main Author: Haji Ahmad Baharul-Ulum, Zatul Karamah
• Format: Thesis
• Language: English
• Published: 2008
• Subjects: Financial management. Business finance. Corporation finance
• Online Access: http://ir.uitm.edu.my/id/eprint/15518/1/TP_ZATUL%20KARAMAH%20AHMAD%20BAHARUL-ULUM%20BM%2008_5.PDF; http://ir.uitm.edu.my/id/eprint/15518/

This study puts forward Value-at-Risk (VaR) models based on Monte Carlo Simulation (MCS) that are integrated with several volatility representations to estimate the market risk for seven non-financial sectors traded on the first board of the Malaysian stock exchange which is now known as Bursa Malay...