Using Value-at-Risk to Estimate Downside Residential Market Risk
Conditional Value-at-Risk (VaR) is currently used by the banking industry to measure market risk as it relates to equity risk, currency risk, interest rate risk and commodity risk. We estimate the downside market risk in residential housing using various conditional volatility models. Although there is controversy surrounding the use of VaR as a risk management tool, we attempt to mitigate these concerns using various approaches in assumptions and modeling. Furthermore, an alternative portfolio is constructed minimizing VaR exposure as a portfolio constraint. We find that the conditional volatility models are especially useful when the current downside residential market risk is time-period dependent because the traditional risk measure based on a longer time series is less influenced by short-term extremes.
Volume (Year): 33 (2011)
Issue (Month): 3 ()
|Contact details of provider:|| Postal: |
Web page: http://www.aresnet.org/
|Order Information:|| Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323|
Web: http://pages.jh.edu/jrer/about/get.htm Email:
When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:33:n:3:2011:p:389-414. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster)
If references are entirely missing, you can add them using this form.