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Value at Risk and Market Risk: Case of the Regional Securities Exchange

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  • Mouhamadou Saliou Diallo

Abstract

The study of the BRVM market risk using the VaR method is a determining factor in assessing the performance of our equity portfolio composed of the BRVM composite index and the BRVM10 index. It has enabled us, with the help of Basel regulations, to use backtesting to determine the minimum amount of capital that an investor must hold per day to protect against risk. The kupiec test enables us to determine the reliability of VaR calculated at different confidence levels. The result of our study confirms, using the extreme VaR method, the robustness of our threshold-based portfolio risk management approach. It also confirms the problem of market attractiveness during times of financial crisis.

Suggested Citation

  • Mouhamadou Saliou Diallo, 2020. "Value at Risk and Market Risk: Case of the Regional Securities Exchange," Applied Economics and Finance, Redfame publishing, vol. 7(6), pages 19-35, December.
    • Handle: RePEc:rfa:aefjnl:v:7:y:2020:i:6:p:19-35
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    References listed on IDEAS

    as
    1. Jeremy Berkowitz & James O'Brien, 2002. "How Accurate Are Value‐at‐Risk Models at Commercial Banks?," Journal of Finance, American Finance Association, vol. 57(3), pages 1093-1111, June.
    2. Jean-David Fermanian & Olivier Scaillet, . "Nonparametric estimation of copulas for time series," Journal of Risk, Journal of Risk.
    3. Markus K. Brunnermeier & Jonathan A. Parker, 2005. "Optimal Expectations," American Economic Review, American Economic Association, vol. 95(4), pages 1092-1118, September.
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    Cited by:

    1. Moses Wambua Mwathe & David Agong, PhD & Joshua Bosire, PhD, 2025. "Derivative Hedging Instruments and the Financial Performance of Non-Financial Companies Listed at the Nairobi Securities Exchange," International Journal of Finance, CARI Journals Limited, vol. 10(5), pages 20-33.

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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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