Value at Risk in the Indian Markets

M Krishna
Institute of Mathematical Sciences
Taramani, Chennai 600 113
India
S K Shanthi
Institute of Financial Management and Research
Kothari Road
Chennai 600 036

Abstract:

In this work we study the stationary distribution valid for the Sensex scrips in the Bombay Stock Exchange and discuss the relation of circuit breakers to the VaR of these scrips.