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

Risk Assessment of a Sample of Securities in Casablanca Stock Exchange

Amal Abderrazik, Mehdi Boutkardine, Nour El Houda El Bahi, Salah Eddine Kartoubi and El Bouhadi Abdelhamid ()

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Risk; variance; semi-variance; profitability; risk shortfall; VaR; mean absolute deviation; coefficient of systematic risk (search for similar items in EconPapers)
JEL-codes: G14 G12 G11 C52 C22 (search for similar items in EconPapers)
Date: 2008-05
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:27731

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