Purpose – This study aims to evaluate the market risk exposure of three international equity portfolios using value-at-risk (VaR). This risk metric calculates the worst case loss for a business in the course of its daily transactions. To ensure that the calculated VaR reflects emerging risk...

This study examines the impact of credit and market risks in the wake of the 2008 financial crisis. In the seven-year period before the collapse of the housing market in 2007, credit risk premiums rose steadily in an apparent reflection of the mounting household debt. However, the equity market...

Purpose – This study aims to evaluate the market risk exposure of three international equity portfolios using value-at-risk (VaR). This risk metric calculates the worst case loss for a business in the course of its daily transactions. To ensure that the calculated VaR reflects emerging risk...