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DC Field | Value | Language |
---|---|---|
dc.contributor.author | عادل زيات | - |
dc.date.accessioned | 2017 | - |
dc.date.available | 2017 | - |
dc.date.issued | 2017 | - |
dc.identifier.issn | 1112-3613 | - |
dc.identifier.uri | http://dspace.univ-ouargla.dz/jspui/handle/123456789/16217 | - |
dc.description | Revue El Bahith | en_US |
dc.description.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. | en_US |
dc.language.iso | other | en_US |
dc.relation.ispartofseries | Number 17 2017 Arabic Sec; | - |
dc.subject | Risk Market | en_US |
dc.subject | Financial Portfolio | en_US |
dc.subject | Value At Risk | en_US |
dc.subject | Emerging Stock Markets | en_US |
dc.title | The Application of Delta-Normal Method to Comput Value-at-Risk on Some Financial Portfolios in Emerging Markets | en_US |
dc.type | Article | en_US |
Appears in Collections: | numéro 17 2017 Arabic sec |
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