Market Risk Quantifications: Historical Simulation Approach on the Malaysian Stock Exchange

Abstract

This paper presents the evaluation of market risk quantifications using Value-at-Risk (VaR) approach on historical data of selected stocks traded in the first board of the Malaysian stock exchange. The data sample covers from the period ranging from year 2008 until 2012 while the holding periods and confidence levels are stated at three and two different positions respectively. Based on the historical simulation technique, mix results are shown when different holding periods are used. The study also shows the critical consideration when selecting the observation periods length and confidence levels in determining the VaR values.