Managing Risk in Asian and Australian Market Using Value at Risk From 2005 – 2024

The purpose of this study is to assess the value at risk (VaR) concept across 17 stock indices from Asian and Australian countries over the period 2005-2024. Using the historical data method to calculate, the results show that the index with the highest VaR at the 1% confidence level is the KOSPI 200 Index from Korea, followed by the Hang Seng China Enterprises Index from China and the Hanoi Stock Exchange Index from Vietnam. High VaR values in these indices reflect the potential for significant losses in the worst-case scenario. Furthermore, this VaR analysis also reveals a clear correlation between expected returns, risk as measured by standard deviation, and VaR. Indices with high expected returns and standard deviations, such as the KOSPI 200 Index from Korea, tend to have high VaR values, indicating that despite the potential for high returns, the risk of loss is also significant. In contrast, indices with lower risk and expected return, such as Malaysia's FTSE Bursa Malaysia KLCI, show lower VaR values, reflecting greater stability.