Value at Risk and Conditional Value at Risk in the Risk Management of Indian Stock Portfolios
- Authors: Syamraj KP.1, Regina Sibi Cleetus2
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View Affiliations Hide Affiliations1 Mar Ivanios College (Autonomous), Nalanchira, Thiruvananthapuram, Kerala, India 2 Mar Ivanios College (Autonomous), Nalanchira, Thiruvananthapuram, Kerala, India
- Source: Business Analytics for Effective Decision Making , pp 37-49
- Publication Date: July 2024
- Language: English
Value at Risk and Conditional Value at Risk in the Risk Management of Indian Stock Portfolios, Page 1 of 1
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Successful investment involves maximizing rewards while minimizing risk. Investors and traders consider risk while making investment decisions, which is often the deciding element in accepting or rejecting an asset or security. The study focuses on risk management in Indian stock portfolios and VaR and CVaR models for risk valuation. The study compares VaR and CvaR valuations on different stock portfolios. This work provides more details on stock portfolio risk blended with different industries. The VaR model framework helps determine the entity's loss potential and the likelihood of the defined loss. The financial sector is the leading sector in stock portfolio returns, and Value at Risk and Conditional Value at Risk values for the financial sector stock portfolio indicate a high level of risk.
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