أهمية النماذج الرياضية في إدارة و قياس مخاطر السوق مع الإشارة لتجربة استخدام نموذج القيمة المعرضة للخطر VAR على مستوى البنوك المصرية

الملخص EN

The aim of this article is to expose the importance of using mathematical models to measure and estimate losses resulting from market risks in banks, and to clarify their position as an aid in managing market risks, as was highlighted in this article on the most prominent mathematical models for the normative and internal approaches brought by the decisions of the Basel Committee, With an indication of the Egyptian banks' experience in using one of the most important quantitative models of the internal approach that received wide use, represented in the value at risk VAR.

Several results were reached through this study, the most important of which was the issuance of the Basel III decisions that replaced the value-at-risk model with the expected deficit model, with regard to measuring market risks and estimating its losses, especially after the failure of previous mathematical models for the second decisions to reveal the global financial crisis in a year 2008 - Also, the creation and development of capital requirements in the context of market risk, based on the risk factor indicators VEGA & DELTA.