The study examines the various measures for market risk facing banks listed in the Egyptian Stock Exchange in accordance with the recommendations of the Basel Committee on Banking Supervision (BCBS). As well as applying the most recent recommendations by assessing Expected Shortfall (ES) in these banks according to Parametric Methods and Semi-Parametric Method. The most recent methods of testing the accuracy of the results of risk measures used in the study will be used by conducting a Back-testing on the estimates of market risk.The study helps banks to identify the best way to give accurate estimates of market risk, almost the same as actual risks.The study also helps to identify and define Expected Shortfall used in estimating market risk in banks, and determining the methods of its application.The study compares the methods of application to identify the most accurate results by testing the accuracy of the back-testing results.The results show that semiparametric method is more accurate.
Ismail, E. A. E., El Henawy, M. S., & Idris, H. M. (2019). Using Expected Shortfall to Measure Market Risk in the Banks Listed in the Egyptian Stock Market. Journal of Alexandria University for Administrative Sciences, 56(1), 1-21. doi: 10.21608/acj.2019.34835
MLA
Elsayeda Abd Elfatah Ismail; Mohamed Saleh El Henawy; Haytham Magdy Idris. "Using Expected Shortfall to Measure Market Risk in the Banks Listed in the Egyptian Stock Market", Journal of Alexandria University for Administrative Sciences, 56, 1, 2019, 1-21. doi: 10.21608/acj.2019.34835
HARVARD
Ismail, E. A. E., El Henawy, M. S., Idris, H. M. (2019). 'Using Expected Shortfall to Measure Market Risk in the Banks Listed in the Egyptian Stock Market', Journal of Alexandria University for Administrative Sciences, 56(1), pp. 1-21. doi: 10.21608/acj.2019.34835
VANCOUVER
Ismail, E. A. E., El Henawy, M. S., Idris, H. M. Using Expected Shortfall to Measure Market Risk in the Banks Listed in the Egyptian Stock Market. Journal of Alexandria University for Administrative Sciences, 2019; 56(1): 1-21. doi: 10.21608/acj.2019.34835
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