International Journal of Innovation and Applied Studies
ISSN: 2028-9324     CODEN: IJIABO     OCLC Number: 828807274     ZDB-ID: 2703985-7
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Calculation of Value At Risk case of a diversified portfolio

[ Calcul d'une Value At Risk cas d'un portefeuille diversifié ]

Volume 10, Issue 2, February 2015, Pages 551–567

 Calculation of Value At Risk case of a diversified portfolio

Moulay El Mehdi Falloul1

1 Ph.D candidate in applied economics and finance, Hassan II University of Mohammedia, Mohammedia, Morocco

Original language: French

Received 20 November 2014

Copyright © 2015 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.


Chance of our ignorance, lack of information which prohibits predict what the future brings, and the existence of multiple causes that cross the path of winning anyway, all this creates major undesirable effects of this that financial institutions have fully made the effort to graduate uncertainty or rather determine the predictability that now was mathematical statistics and not deterministic form. Among the methods most used in the context of risk management in finance is the Value at risk. This method allows materializing the risk of losing a position or the entire portfolio. The goal of this paper is to clarify some notions about this approach and to have more ideas and trace while giving tracks to highlight the risks, corrected to overcome weaknesses and to better understand the fluctuations. Thus we would calculate the Value At Risk of a diversified portfolio composed of three assets.

Author Keywords: Value At Risk, m.

Abstract: (french)

Le hasard de notre ignorance, le manque d'information qui interdit de prédire ce que l'avenir apporte, et l'existence des causes multiples qui croisent le chemin du gain de toute manière, tout cela engendre de grands effets non souhaitables, de ce fait les institutions financières ont pleinement fait l'effort afin de graduer l'incertitude ou plutôt déterminer la prédictibilité qui désormais fut statistique mathématique et non pas déterministe. Parmi les méthodes les plus utilisé dans le cadre de la gestion des risques en finance est la Value at risk. Cette méthode permet de matérialiser le risque de perte d'une position ou de l'ensemble d'un portefeuille. Le but de ce papier est de clarifier quelques notions sur cette approche et d'en avoir plus d'idées et de traces tout en donnant des pistes permettant de souligner les risques, les corrigées afin de surmonter les faiblesses et de mieux appréhender les fluctuations. Ainsi nous calculons la Value At Risk d'un portefeuille diversifié composé de trois actifs.

Author Keywords: Value At Risk, Variance covariance method, Monte Carlo method, historical method, Normal VaR.

How to Cite this Article

Moulay El Mehdi Falloul, “Calculation of Value At Risk case of a diversified portfolio,” International Journal of Innovation and Applied Studies, vol. 10, no. 2, pp. 551–567, February 2015.