Volume 28, Issue 1, December 2019, Pages 254–260
Mohammed Djebbouri1
1 Finance and Banking Department, Moulay Tahar University, Saida, Algeria
Original language: English
Copyright © 2019 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
This study aims to show how do the Value at Risk contributes at measuring the risks that face the financial portfolio and its damages using a Financial Portfolio that was formed from five normal stocks of listed companies in the Kuwaiti financial market of 2018. The study has adopted confidence levels of 99%, 95% and 90% to calculate the value at risk using historical simulations and comparing it to the parametric method to the daily portfolio returns. The study resulted at there are some differences between the two methods, and that this qualitative tool is accurate and important in estimating maximum losses that can be achieved within the selected time horizon of one day and a month.
Author Keywords: financial portfolio, historical simulations method, parametric method, the value at risk, Kuwait Stock Exchange.
Mohammed Djebbouri1
1 Finance and Banking Department, Moulay Tahar University, Saida, Algeria
Original language: English
Copyright © 2019 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
This study aims to show how do the Value at Risk contributes at measuring the risks that face the financial portfolio and its damages using a Financial Portfolio that was formed from five normal stocks of listed companies in the Kuwaiti financial market of 2018. The study has adopted confidence levels of 99%, 95% and 90% to calculate the value at risk using historical simulations and comparing it to the parametric method to the daily portfolio returns. The study resulted at there are some differences between the two methods, and that this qualitative tool is accurate and important in estimating maximum losses that can be achieved within the selected time horizon of one day and a month.
Author Keywords: financial portfolio, historical simulations method, parametric method, the value at risk, Kuwait Stock Exchange.
How to Cite this Article
Mohammed Djebbouri, “An Empirical Study of Value at Risk on a Financial Portfolio in the Kuwaiti Market 2018,” International Journal of Innovation and Applied Studies, vol. 28, no. 1, pp. 254–260, December 2019.
