Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall

This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus...

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Bibliographic Details
Main Author: Nasir, Adeel (author)
Other Authors: Khan, Kanwal Iqbal (author), Mata, Mário Nuno (author), Mata, Pedro Neves (author), Martins, Jéssica Nunes (author)
Format: article
Language:eng
Published: 2021
Subjects:
Value at risk
Expected shortfall
CAPM
Fama and French
VaR
Asset pricing
Risk and return
Risk management
Mathematical modelling
Online Access:http://hdl.handle.net/10400.15/3439
Country:Portugal
Oai:oai:repositorio.ipsantarem.pt:10400.15/3439

Internet

http://hdl.handle.net/10400.15/3439

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