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A Comparative Risk Analysis of Bangladesh in the SAARC Region: A Study of Value at Risk

Islam, Md Tazul LU (2015) NEKN02 20151
Department of Economics
Abstract
The aim of this study is to find out how much more risky the stock market of Bangladesh is compared to the other South Asian Association of Regional cooperation (SAARC) countries and investigate the role of it in this region from risk perspective. Bangladesh is one of the potential markets for investment among the eight countries of SAARC. It is therefore high time to study market risk associated with the countries stock market. Value at Risk (VaR) has been applied to estimate market risk of the four countries. To evaluate competitive advantage of Bangladesh from risk perspective a portfolio analysis was conducted with three other SAARC countries. Two portfolios were created with and without Bangladesh to see whether it increases or... (More)
The aim of this study is to find out how much more risky the stock market of Bangladesh is compared to the other South Asian Association of Regional cooperation (SAARC) countries and investigate the role of it in this region from risk perspective. Bangladesh is one of the potential markets for investment among the eight countries of SAARC. It is therefore high time to study market risk associated with the countries stock market. Value at Risk (VaR) has been applied to estimate market risk of the four countries. To evaluate competitive advantage of Bangladesh from risk perspective a portfolio analysis was conducted with three other SAARC countries. Two portfolios were created with and without Bangladesh to see whether it increases or decreases portfolio risk. Incremental Value at Risk (IVaR) was used to estimate the additional risk produced by including Bangladesh into the portfolio. Components Value at Risk (CVaR) was applied to measure individual countries contribution to the portfolio risk. Bangladesh was found less risky compared to India and Pakistan and inclusion of Bangladesh to the portfolio reduced the risk. (Less)
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author
Islam, Md Tazul LU
supervisor
organization
course
NEKN02 20151
year
type
H1 - Master's Degree (One Year)
subject
keywords
Value at Risk (VaR), Incremental Value at Risk (IVaR), Components Value at Risk (CVaR), Bangladesh, DSE, SAARC
language
English
id
7373386
date added to LUP
2015-06-29 13:23:06
date last changed
2015-06-29 13:23:06
@misc{7373386,
  abstract     = {The aim of this study is to find out how much more risky the stock market of Bangladesh is compared to the other South Asian Association of Regional cooperation (SAARC) countries and investigate the role of it in this region from risk perspective. Bangladesh is one of the potential markets for investment among the eight countries of SAARC. It is therefore high time to study market risk associated with the countries stock market. Value at Risk (VaR) has been applied to estimate market risk of the four countries. To evaluate competitive advantage of Bangladesh from risk perspective a portfolio analysis was conducted with three other SAARC countries. Two portfolios were created with and without Bangladesh to see whether it increases or decreases portfolio risk. Incremental Value at Risk (IVaR) was used to estimate the additional risk produced by including Bangladesh into the portfolio. Components Value at Risk (CVaR) was applied to measure individual countries contribution to the portfolio risk. Bangladesh was found less risky compared to India and Pakistan and inclusion of Bangladesh to the portfolio reduced the risk.},
  author       = {Islam, Md Tazul},
  keyword      = {Value at Risk (VaR),Incremental Value at Risk (IVaR),Components Value at Risk (CVaR),Bangladesh,DSE,SAARC},
  language     = {eng},
  note         = {Student Paper},
  title        = {A Comparative Risk Analysis of Bangladesh in the SAARC Region: A Study of Value at Risk},
  year         = {2015},
}