Table of Contents

Table of Contents ……………………………………………………………………………………………………….. 4
List of Figures ……………………………………………………………………………………………………………. 6
List of Tables ……………………………………………………………………………………………………………… 7
Acknowledgements …………………………………………………………………………………………………….. 8
Abstract …………………………………………………………………………………………………………………….. 9
1. Introduction ………………………………………………………………………………………………………….. 10
1.1 Aims and Rationale for the Proposed Research ……………………………………………………….. 10
1.2 Recipients for Research ………………………………………………………………………………………… 10
1.3 New and Relevant Research ………………………………………………………………………………….. 10
1.4 Suitability of Researcher for the Research ………………………………………………………………. 11
1.5 General Definition ……………………………………………………………………………………………….. 11
2. Literature Review ………………………………………………………………………………………………….. 14
2.1 Theory ……………………………………………………………………………………………………………….. 14
2.1.1 Non-Parametric Approaches ………………………………………………………………………………. 14
2.1.2 Parametric Approaches ……………………………………………………………………………………… 15
2.1.3 Simulation – Approach………………………………………………………………………………………. 29
2.2 Empirical Studies ………………………………………………………………………………………………… 31
2.2.1 Historical Simulation…………………………………………………………………………………………. 31
2.2.2 GARCH …………………………………………………………………………………………………………… 32
2.2.3 RiskMetrics ……………………………………………………………………………………………………… 32
2.2.4 IGARCH………………………………………………………………………………………………………….. 33
2.2.5 FIGARCH ……………………………………………………………………………………………………….. 34
2.2.6 GJR-GARCH …………………………………………………………………………………………………… 34
2.2.7 APARCH …………………………………………………………………………………………………………. 35
2.2.8 EGARCH ………………………………………………………………………………………………………… 36
2.2.9 Monte Carlo Simulation …………………………………………………………………………………….. 36
3. Research Methodology and Methods ……………………………………………………………………….. 37
3.1 Research Hypotheses ……………………………………………………………………………………………. 37
3.2 Research Philosophy ……………………………………………………………………………………………. 39
3.3 Research Strategy ………………………………………………………………………………………………… 39
3.4 Ethical Issues and Procedure …………………………………………………………………………………. 45
Research Ethics ………………………………………………………………………………………………………… 45
3.5 Population and Sample …………………………………………………………………………………………. 45
3.6 Data Collection, Editing, Coding and Analysis ……………………………………………………….. 49
4. Data Analysis ……………………………………………………………………………………………………….. 50
4.1 Analysis of the period from 2003 to 2013……………………………………………………………….. 51
4.2 Analysis of the period from 2003 to 2007……………………………………………………………….. 54
4.3 Analysis of the period from 2008 to 2013……………………………………………………………….. 58
5. Discussion ……………………………………………………………………………………………………………. 61
5.1 Discussion ………………………………………………………………………………………………………….. 61
5.2 Research Limitations and Constrains ……………………………………………………………………… 63
6. Conclusion ……………………………………………………………………………………………………………. 64
Publication bibliography ……………………………………………………………………………………………. 66
Appendix A: Reflections on Learning …………………………………………………………………………. 73
Appendix B.I Oxmetrics Output Crisis Sample …………………………………………………………….. 75
Appendix B.II Oxmetrics Output Pre-Crisis Sample ……………………………………………………… 94
Appendix B.III Oxmetrics Output Full Sample …………………………………………………………… 114
Appendix C Oxmetrics Screenshots …………………………………………………………………………… 133