An Application Of The Extreme Value Theory Using Q-Q Plot Representation In Financial Engineering: The Estimation Of The Var In The Moroccan Stock Market During The Occurrence Of Some Rare Past Events.

Authors

  • Abdelmonsif HICHMAN
  • Driss GRETETE

Abstract

Since the year 2003, Morocco has seen some rare events, which are considered as unlikely risks in term of financial engineering and risk management. They had effects on the national economy. The objective of this article is to apply the theory of extreme values in the estimation of the value at risk in the Moroccan financial market and specifically in the stock market during the period of occurrence of these events on the one side, and on the other side to compare the estimate by this method with the real losses. This estimation of the value at risk, which represents the maximum loss that should not be exceeded for a given probability in a given horizon, will be calculated during the occurrence of four rare events: The Casablanca bombings on 16 May 2003,The banking and financial crisis of 2007-2008,The pandemic of covid-19 on 2019-2020,The Russian-Ukrainian conflict on 2022.The estimate is going to be applied to the MASI index which is the principal stock market index of the Moroccan Stock Exchange. It is constituted of all the stocks listed on the Casablanca Stock Exchange.

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Published

2022-10-12

How to Cite

Abdelmonsif HICHMAN, & Driss GRETETE. (2022). An Application Of The Extreme Value Theory Using Q-Q Plot Representation In Financial Engineering: The Estimation Of The Var In The Moroccan Stock Market During The Occurrence Of Some Rare Past Events. RES MILITARIS, 12(1), 796–807. Retrieved from https://resmilitaris.net/index.php/resmilitaris/article/view/147