تطبيق طريقة دلتا الطبيعي لحساب القيمة المعرضة للخطر في بعض المحافظ المالية في الأسواق الناشئة

Abstract EN

This study aims to investigate the accuracy of the Delta-Normal method of computing Valueat- Risk, and in order to evaluate his quality, shapiro-Wilk test is used to determine if the returns of the portfolio are well-modeled by a normal distribu-tion .Daily loss is calculated with using 2200 days historical data belonging the period 2008-2016.

Stocks are chosen from five emerging Stock Exchange.

Calculation is made for 99 % confidence level and ten days holding periods.

One of our main conclusion isthat the return are not normally distributed, and the method do not provide satisfactory evaluation of possible losses.