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Evaluation of the South African equity markets in a value-at-risk framework
Dissertation (MSc)--University of Pretoria, 2015.
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| Format: | Thesis |
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University of Pretoria
2015
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| _version_ | 1867613507715858432 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2015 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc)--University of Pretoria, 2015. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/48941 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:37:15.129Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/48941 Evaluation of the South African equity markets in a value-at-risk framework Mare, Eben Kufakunesu, Rodwell Mabitsela, Lesedi Financial Engineering UCTD Dissertation (MSc)--University of Pretoria, 2015. The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be normally distributed. However, though simple to implement, the Normal distribution underestimates the kurtosis and skewness of the observed financial returns. This dissertation focuses on the evaluation of the South African equity markets in a Value-at-Risk framework. Value-at- Risk is estimated on five equity stocks listed on the Johannesburg Stock Exchange, including the FTSE/JSE TOP40 index and the S&P 500 index. The statistical distribution of the financial returns is modelled using the Normal Inverse Gaussian and is compared to the financial returns modelled using the Normal, Skew t-distribution and Student t-distribution. We then estimate Value-at-Risk under the assumption that financial returns follow the Normal Inverse Gaussian, Normal, Skew t-distribution, Student t-distribution and Extreme Value Theory and backtesting was performed under each distribution assumption. The results of these distributions are compared and discussed. Mathematics and Applied Mathematics MSc Unrestricted 2015-07-16T06:55:03Z 2015-07-16T06:55:03Z 2015-09 2015 Dissertation Mabitsela, L 2015, Evaluation of the South African equity markets in a value-at-risk framework, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/48941> S2015 http://hdl.handle.net/2263/48941 © 2015 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | Financial Engineering UCTD Evaluation of the South African equity markets in a value-at-risk framework |
| title | Evaluation of the South African equity markets in a value-at-risk framework |
| title_full | Evaluation of the South African equity markets in a value-at-risk framework |
| title_fullStr | Evaluation of the South African equity markets in a value-at-risk framework |
| title_full_unstemmed | Evaluation of the South African equity markets in a value-at-risk framework |
| title_short | Evaluation of the South African equity markets in a value-at-risk framework |
| title_sort | evaluation of the south african equity markets in a value at risk framework |
| topic | Financial Engineering UCTD |
| url | http://hdl.handle.net/2263/48941 |