The Importance of the Value at Risk Method Using the Historical Simulation Approach in Measuring the Financial Risks of the Organization: An Applied Study on Companies Listed on the Algerian Stock Exchange.

Hachi, Faiza Oumelkheir; Benlarbi, Abbas

مجلة بحوث الإدارة والاقتصاد
Volume 6, Numéro 1, Pages 747-766
2024-03-15

The Importance Of The Value At Risk Method Using The Historical Simulation Approach In Measuring The Financial Risks Of The Organization: An Applied Study On Companies Listed On The Algerian Stock Exchange.

Authors : Hachi Faiza Oumelkheir . Benlarbi Abbas .

Abstract

This study aims to assess and measure the financial risks of the investment portfolio by introducing the value-at-risk approach through the historical simulation approach. The various variables of the study were addressed theoretically and practically by measuring the value at risk (VaR) of a hypothetical investment portfolio in active companies listed on the Algerian Stock Exchange. Through this study, we reached the extent of fluctuation in prices and returns, as well as the size of potential risks and losses that may face the investor in the study sample companies. This may allow the investor to reduce these risks to avoid financial failures that it might incur, as well as to make an appropriate investment decision on time.

Keywords

Financial risks ; value at risk ; Algerian Stock Exchange.

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The Importance Of The Value At Risk Method Using The Historical Simulation Approach In Measuring The Financial Risks Of The Organization: An Applied Study On Companies Listed On The Algerian Stock Exchange.

Abstract

Keywords

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