Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca

Abderrazik, Amal and Boutkardine, Mehdi and El Bahi, Nour El Houda and Kartoubi, Salah Eddine and El Bouhadi, Abdelhamid (2008): Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca.

Abstract

The management of financial risks, which is a branch of financial theory, is defined as a process that begins with risk factors identification, continues with measurement of risk and concludes with the coverage of that risk. This work focuses on the second phase of management process, namely the measurement of risk. This can be defined as an uncertainty which has an impact on the wealth and can be measured by different ways. Indeed, it is possible to distinguish, for each risk category, a set of evaluation methods (for example: the semi-variance for equity risk, the convexity degrees for risk associated with bonds and Value-at-Risk (VaR) for the global risk of portfolio). The use of measurement risk in a portfolio of securities is necessary as far as it facilitates the understanding of theoretical concepts and the use of mathematical formulas.

• Item Type: MPRA Paper
• English Title: Risk Assessment of a Sample of Securities in Casablanca Stock Exchange
• Language: French
• Keywords: Risk, variance, semi-variance, profitability, risk shortfall, VaR, mean absolute deviation, coefficient of systematic risk
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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