تقييم أداء المحفظة الاستثمارية وفقا للمخاطر السوقية باستخدام القيمة المعرضة للخطر : (دراسة تحليلية لعينة من الشركات الاستثمارية المدرجة في سوق العراق للأوراق المالية للمدة (2013-2018)‎)‎

Abstract EN

The aim of the research is to evaluate the performance of investment portfolios according to market risk, using value at risk (VaR).

The research sample included two portfolios of two companies in the field of financial investment, namely the portfolio of the Al-Amin company and the portfolio of the Batik company, compared with the portfolio of the Iraq Stock Exchange for the period (2013-2018) by adopting the market index (ISX60), and the study showed the level of performance of each portfolio as well as studying the level of market risk through accreditation On the value at risk scale as a method by which one can identify the risks facing the companies.

The study sample is a tool that works to estimate the worst expected loss during a specific time period (2013-2018) and within a level of 99% confidence, depending on the JPM model to calculate the exposed value .

The study found results, the most important of which are, there are different losses suffered by the portfolios of the companies included in the study, which showed that (VaR) was able to prove the amount of losses that the portfolios are exposed to.

Included in these portfolios, which indicates that the companies in the study sample suffer from mismanagement, and that the most important recommendation of the study is that the study sample companies should pay attention to using the value at risk (VaR) method as one of the modern methods of measuring market risks, to determine the maximum potential losses.

That the investment portfolio is exposed to it, and the risk manager must periodically and systematically calculate the value at risk.