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

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.