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




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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 -

Original Title: Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca-

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 TradingG - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest RatesG - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment DecisionsC - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and SelectionC - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes-





Autor: Abderrazik, Amal

Fuente: https://mpra.ub.uni-muenchen.de/27731/







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