Market risk estimation using non-parametric value at risk and conditional value at risk an empirical study on the Algerian stock market
Joint Authors
Bu Madyan, Taibi
Jabburi, Muhammad
Tahi, Abd al-Rahman
Source
Review of Finance and Markets Revue Finance et Marchés
Issue
Vol. 8, Issue 1 (30 Apr. 2021), pp.1-15, 15 p.
Publisher
Publication Date
2021-04-30
Country of Publication
Algeria
No. of Pages
15
Main Subjects
Topics
Abstract 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.
American Psychological Association (APA)
Tahi, Abd al-Rahman& Jabburi, Muhammad& Bu Madyan, Taibi. 2021. Market risk estimation using non-parametric value at risk and conditional value at risk an empirical study on the Algerian stock market. Review of Finance and Markets Revue Finance et Marchés،Vol. 8, no. 1, pp.1-15.
https://search.emarefa.net/detail/BIM-1082976
Modern Language Association (MLA)
Tahi, Abd al-Rahman…[et al.]. Market risk estimation using non-parametric value at risk and conditional value at risk an empirical study on the Algerian stock market. Review of Finance and Markets Revue Finance et Marchés Vol. 8, no. 1 (2021), pp.1-15.
https://search.emarefa.net/detail/BIM-1082976
American Medical Association (AMA)
Tahi, Abd al-Rahman& Jabburi, Muhammad& Bu Madyan, Taibi. Market risk estimation using non-parametric value at risk and conditional value at risk an empirical study on the Algerian stock market. Review of Finance and Markets Revue Finance et Marchés. 2021. Vol. 8, no. 1, pp.1-15.
https://search.emarefa.net/detail/BIM-1082976
Data Type
Journal Articles
Language
English
Notes
-
Record ID
BIM-1082976
