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https://dspace.univ-ouargla.dz/jspui/handle/123456789/16217
Title: | The Application of Delta-Normal Method to Comput Value-at-Risk on Some Financial Portfolios in Emerging Markets |
Authors: | عادل زيات |
Keywords: | Risk Market Financial Portfolio Value At Risk Emerging Stock Markets |
Issue Date: | 2017 |
Series/Report no.: | Number 17 2017 Arabic Sec; |
Abstract: | This study aims to investigate the accuracy of the Delta-Normal method of computing Value-at-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. |
Description: | Revue El Bahith |
URI: | http://dspace.univ-ouargla.dz/jspui/handle/123456789/16217 |
ISSN: | 1112-3613 |
Appears in Collections: | numéro 17 2017 Arabic sec |
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