TY  - JOUR
T1  - Value-at-Risk on Different Economic Sectors in Malaysia
AU - Mahirah Abd. Gani, Siti AU - Azri Mohd, Muhammad AU - Nazatul Shima, Sharifah AU - Azmir ABSL Kamarul Adzhar, Zahrul 
JO  - Journal of Engineering and Applied Sciences
VL  - 12
IS  - 9
SP  - 2289
EP  - 2293
PY  - 2017
DA  - 2001/08/19
SN  - 1816-949x
DO  - jeasci.2017.2289.2293
UR  - https://makhillpublications.co/view-article.php?doi=jeasci.2017.2289.2293
KW  - Value-at-risk
KW  -Kupiec backtesting
KW  -Monte Carlo
KW  -historical simulation
KW  -telecommunication
AB  - There are many methods used in determining the performance of a stock. None of them offer the
investor a correct risk analysis of their holding and they frequently exposed to a high market risk. However, a
sector that is worth investing can also be determined by researching its riskiness in the market. By adapting
VaR measurement, this study aims to determine the least risky and the riskiest economic sector for investment
in Malaysia. Two approaches used in estimating the VaR for the selected economic sector namely the historical
simulation and Monte Carlo simulation. Results of the analysis show that the manufacturing sector have been
the least risky sector for investment and the riskiest sector is telecommunication sector. The choice of which
to invest depends on the risk appetite of investors. Historical simulation being the most appropriate approach
to measure value at risk in this particular study as it results a smaller value of mse and made and also based on
backtesting using Kupiec’s test.
ER  -