Market risk estimation using non-parametric value at risk and conditional value at risk an empirical study on the Algerian stock market

الملخص EN

The aim of this study is to estimate the Algerian market risk, where we calculated the non-parametric VaR and CVaR for a portfolio of four Algerian companies during the period 28-04-2019 to 26-04-2020 using daily returns with equal weights, we also calculated the VaR and CVaR for the same portfolio but with optimal weights, and we found that these methods are useful in estimating the risk of our portfolio and they also can be affected by the portfolio optimization.