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Title: Market capitalization and Value-at-Risk
Authors: Dias, Alexandra
First Published: Dec-2013
Publisher: Elsevier
Citation: Alexandra Dias, Market capitalization and Value-at-Risk, Journal of Banking & Finance, Volume 37, Issue 12, December 2013, Pages 5248-5260
Abstract: The potential of economic variables for financial risk measurement is an open field for research. This article studies the role of market capitalization in the estimation of Value-at-Risk (VaR). We test the performance of different VaR methodologies for portfolios with different market capitalization. We perform the analysis considering separately financial crisis periods and non-crisis periods. We find that VaR methods perform differently for portfolios with different market capitalization. For portfolios with stocks of different sizes we obtain better VaR estimates when taking market capitalization into account. We also find that it is important to consider crisis and non-crisis periods separately when estimating VaR across different sizes. This study provides evidence that market fundamentals are relevant for risk measurement.
DOI Link: 10.1016/j.jbankfin.2013.04.015
ISSN: 0378-4266
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: © 2013 Elsevier B.V. All rights reserved. Policy checked with SHERPA/ROMEO on ingest.
Appears in Collections:Published Articles, School of Management

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