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تحليل وقياس مخاطرة السوق لمحفظة التداول المصرفية على وفق القيمة المعرضة للمخاطرة (VaR) : دراسة تطبيقية في مصرف الائتمان العراقي == Analysis And Measurement of Market Risk For The Trading Portfolio Banking According To The Value At Risk (VaR) A Case Study In Credit Bank of Iraq
Author name:
زينب صباح فرج الجبوري
Supervisor name:
محمد علي ابراهيم العامري
General topic:
Administration and Economics
Specific topic:
Business Administration
Degree:
Master
University:
University of Baghdad - Faculty Of Administration And Economics - Department Of Business Administration
Language:
Arabic
University location:
Baghdad
First pages:
07T3687 - p.pdf
Abstract:
تعد المخاطرة من اهم التهديدات التي تواجهها المؤسسات المالية وغير المالية على حد سواء بسبب التغيرات البيئية التي تشهدها الصناعة المالية العالمية نتيجة انشطة التداول, التي عرضت المصارف الى خسائر كبيرة ناتجة عن مخاطرة السوق التي تصاحب الانشطة التداولية للمصا | The risks are most important things that threaten the financial establishments and non financial establishments because of the changes in global financial industry which is the results of circulating activities that make the banks face large losses because of market risks which combined with banking activities. this brought global attention toward market risks and the train to measure them according to the value at risk model being the modern scale that measures predictable losses.this paper ,therefore, aim to define all types of market risks which facing the banks and their administrations and measure it through lighting the price changing which value facing risks measure to expand the understood and know the complex calculations which it followed by this measure where attention is directed towards the important of banking market risk scale to assess the resulting loss as currency value. Enabling banks to product the size of the potential threat they are to face which in term brings higher profit on one hand and reduces the risk and circulating cost on the other hand. Using the mathematical and statistical method in calculating the value at risk through the JP Morgan model to assess the market risk for the circulating portfolio in risk of profit amounts , foreign exchange rates and the risk of property (shares)prices as well as analyzing the portfolio into three areas : fixed income instruments ,foreign exchange and equity risks (shares) beside analysis of portfolio to three fixed paper centers (fixed income ,foreign exchange and shares ,and measure the value that could face a risks for each center that face market risks to reach to single figure value represent total market risks through matrix of JPMorgan model. By using statistic science to analysis risks through show the domain of the distribution of income is natural distribution which is one of the condition to calculate the risk value because it depend on the standard deviation and arithmetic mean and depend on the period of retention is 10 days and trust percent is 95 %. The case study was done on the credit bank of Iraq for six years from 2005 to 2010.the result shows that the risk value for portfolio which represents total market risks increased for the last few years which results from calculating connection matrix showing that var1 for fixed income market papers (treasure bills )that facing changing in interest price maximize for the last few years while var2 for foreign exchange position exposed to the change in the dollar exchange rate and could minimize by time and var3 of the equity position (shares) (shares of trading bank )result from vicissitudes of shares price have miner exposed compare with var1 and var2. after extracting market return as financial index from the market portfolio which consist from eight banks selected for conformation market portfolio and adopt VaR index in Iraqi banks work , to manage their risks result from exposing to market risks , the study based on main assumption that is " market risk measured by VaR with trust percent 95% result from exposed values to interest price risks having greater effect from values exposed to foreign exchange risks and that result from values exposed to shares price". This assumption proved by extracting total VaR values to market risk and proved that it effected by interest price more than risk of foreign exchange and equity risk.
