Journal of International Business and Economy

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Bayesian and EVT Value-At-Risk Estimates of India's Non-Financial Firms
Pankaj Sinha and Shalini Agnihotri
Volume 19, Number 1, Spring 2018 (pp. 50 ~ 75)

The Companies Act 2013 has made it mandatory for firm¡¯s Board of Directors Report to include a statement indicating elements of risk faced by companies. In the IMF report of March 2015, it is mentioned that India¡¯s non-financial company¡¯s external commercial borrowings rose by 107% between March 2010 to March 2014. The stress test based on exchange rate and profits demonstrated continuing high vulnerabilities of the firms. Looking at both the important factors, the current study estimates the Value-at-Risk (VaR) of 106 non-financial Indian firms. It is well a documented fact that return series is non- normal, therefore taking bivariate distribution of return and foreign exchange rate. VaR is calculated using the extreme value theory method and Bayesian method. The results suggest that Bayesian method provides the best VaR estimates

Key Words: non-normality, extreme value theory (EVT), value at risk (VaR), Bayesian VaR , GARCH

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Volume 19, Number 1, Spring 2018 (pp. 79 ~ 101)
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