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An Expected Loss Analysis of the ISEQ 20 Stock Index

Fry, Byron LU (2010) NEKM02 20101
Department of Economics
Abstract
Ireland is considered to have been one of the worst affected economies during the latest financial crisis. As a result, there is continuing uncertainty as to the potential losses that one could incur on Ireland’s ISEQ 20 stock index. This thesis aims to quantify the expected loss of the index by using Value at Risk and Expected shortfall models, comparing their performance and explain the origin of the continuing high volatility on the market. Other indices are used as a benchmark to set the ISEQ 20 in context. The thesis finds no model passed the stress tests, however, the GARCH-filtered Age-weighted Historical Simulation is selected on other merits as the preferred estimation model out of those compared. The thesis highlights the limits... (More)
Ireland is considered to have been one of the worst affected economies during the latest financial crisis. As a result, there is continuing uncertainty as to the potential losses that one could incur on Ireland’s ISEQ 20 stock index. This thesis aims to quantify the expected loss of the index by using Value at Risk and Expected shortfall models, comparing their performance and explain the origin of the continuing high volatility on the market. Other indices are used as a benchmark to set the ISEQ 20 in context. The thesis finds no model passed the stress tests, however, the GARCH-filtered Age-weighted Historical Simulation is selected on other merits as the preferred estimation model out of those compared. The thesis highlights the limits of the application of theory and the benefits of having a margin of error included on the expected loss estimate. (Less)
Please use this url to cite or link to this publication:
author
Fry, Byron LU
supervisor
organization
course
NEKM02 20101
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Index, Expected Loss, Value at Risk, VaR, Ireland, ISEQ 20, volatility
language
English
id
1662436
date added to LUP
2010-09-20 10:12:01
date last changed
2010-09-20 10:12:01
@misc{1662436,
  abstract     = {Ireland is considered to have been one of the worst affected economies during the latest financial crisis. As a result, there is continuing uncertainty as to the potential losses that one could incur on Ireland’s ISEQ 20 stock index. This thesis aims to quantify the expected loss of the index by using Value at Risk and Expected shortfall models, comparing their performance and explain the origin of the continuing high volatility on the market. Other indices are used as a benchmark to set the ISEQ 20 in context. The thesis finds no model passed the stress tests, however, the GARCH-filtered Age-weighted Historical Simulation is selected on other merits as the preferred estimation model out of those compared. The thesis highlights the limits of the application of theory and the benefits of having a margin of error included on the expected loss estimate.},
  author       = {Fry, Byron},
  keyword      = {Index,Expected Loss,Value at Risk,VaR,Ireland,ISEQ 20,volatility},
  language     = {eng},
  note         = {Student Paper},
  title        = {An Expected Loss Analysis of the ISEQ 20 Stock Index},
  year         = {2010},
}