Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region

2020 ◽  
Author(s):  
Ali Chebbi ◽  
Amel Hedhli
Keyword(s):  
Risk Assessment ◽  
Stock Markets ◽  
Multidimensional Approach ◽  
Mena Region

scholarly journals The COVID-19 Outbreak and Risk–Return Spillovers between Main and SME Stock Markets in the MENA Region

2022 ◽  
Vol 10 (1) ◽  
pp. 6
Author(s):  
Nassar S. Al-Nassar ◽  
Beljid Makram
Keyword(s):  
Saudi Arabia ◽  
Stock Markets ◽  
Practical Implication ◽  
Mena Region ◽  
Asymmetric Volatility ◽  
Volatility Spillovers ◽  
Dynamic Correlations ◽  
Stock Portfolio ◽  
Different Characteristics ◽  
Portfolio Design

This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Return and volatility spillovers are modelled using a VAR-asymmetric BEKK–GARCH (1,1) model, while a VAR-asymmetric DCC–GARCH (1,1) model is employed to model the dynamic conditional correlations between these markets, which are then used to determine and explore portfolio design and hedging implications. The results show that while bidirectional return spillovers between the main and SME stock markets are limited to Saudi Arabia, shock and volatility spillovers have different characteristics and dynamics in both main–SME market pairs. In addition, the dynamic correlations between the main and SME markets are mostly positive and have notably increased during the COVID-19 pandemic, particularly in Saudi Arabia, suggesting that adding SME stocks to a main stock portfolio enhances its risk-adjusted return, especially during tranquil market phases. One practical implication of our results is that the development of SME stock markets can indirectly contribute to economic development via the main market channel and provide an avenue for portfolio diversification and risk management.

scholarly journals The Impact of Coronavirus Pandemic on Stock Market Return: The Case of the MENA Region

2020 ◽  
Vol 12 (12) ◽  
pp. 100
Author(s):  
Amr Arafa ◽  
Nader Alber
Keyword(s):  
Stock Market ◽  
United Arab Emirates ◽  
Stock Markets ◽  
Stock Market Index ◽  
Mena Region ◽  
Stock Market Returns ◽  
Market Return ◽  
Stock Market Return ◽  
June July ◽  
The Impact

This paper attempts to investigate the impact of Coronavirus spread on the stock markets of MENA region. Coronavirus has been measured by cumulative total cases, cumulative total deaths, new cases and new deaths, while stock market return is measured by Δ in the stock market index. This has been applied on stock markets of 7 countries (Egypt, Jordan, Morocco, Qatar, Saudi Arabia, United Arab Emirates, and Tunisia), on daily basis during the period from March 1, 2020, to July 24, 2020. Results indicate that stock market returns in the MENA countries tend to be negatively affected Coronavirus cumulative deaths and Coronavirus new deaths. A robustness check has been conducted for each country during the whole period, showing significant effect of Coronavirus cumulative cases in Jordan and Tunisia and significant effect of Coronavirus cumulative deaths in Jordan, Morocco and Tunisia, without any evidence about the effects of Coronavirus new cases and Coronavirus new cases. After splitting the research period into 4 sub-periods (March, April, May, June- July 24), results support the impact of “cumulative Coronavirus cases” on stock market return in Jordan during May and in Morocco during April. Besides, the impact of “cumulative Coronavirus deaths” has been supported in in Morocco during April, and in Tunisia during March and June-July. Moreover, “new Coronavirus cases” seems to have a significant impact in Jordan during May and in Tunisia during March. Also, “new Coronavirus deaths” shows a significant effect in Morocco during May.

scholarly journals MULTIDIMENSIONAL APPROACH TO THE SENSITIVITY ANALYSIS OF INNOVATIVE PROJECTS RISK ASSESSMENT

2014 ◽  
pp. 72-77
Author(s):  
A. M. Pokrovskiy
Keyword(s):  
Risk Factors ◽  
Risk Assessment ◽  
Sensitivity Analysis ◽  
Risk Analysis ◽  
Multidimensional Approach ◽  
Priority Areas ◽  
Empirical Base ◽  
Different Types ◽  
The Matrix

Article is devoted to a multidimensional approach to an important part of risk analysis of innovative projects – evaluation of the sensitivity of risk when you change their underlying caus-es. Proposed and tested on a concrete example method of forming an empirical base for modeling the sensitivity of risk evaluations of innovative projects within that do not violate the consistency of the matrix of paired statements. It is shown that this can be obtained economically significant results, including assessment of priority areas of investment elasticity of the weights of different types of risks, and identifying the most sensitive risk factors.

scholarly journals Cost Analysis and Health Risk Assessment of Wastewater Reuse from Secondary and Tertiary Wastewater Treatment Plants

2021 ◽  
Vol 13 (23) ◽  
pp. 13125
Author(s):  
Sara AbdelMoula ◽  
Mohamed T. Sorour ◽  
Samia A. Abdelrahman Aly
Keyword(s):  
Risk Assessment ◽  
Health Risks ◽  
Reclaimed Water ◽  
Giardia Duodenalis ◽  
Assessment Model ◽  
Treated Wastewater ◽  
Systematic Evaluation ◽  
Quantitative Microbial Risk Assessment ◽  
Mena Region ◽  
Treatment Alternatives

Irrigation with reclaimed water is a widespread solution to coping with water scarcity, especially in the Middle East and North Africa (MENA) region. This paper presents a systematic evaluation approach of six treatment alternatives proposed for Alexandria WWTP in Egypt as an applied example. This approach evaluates the effluent quality and cubic meter price from the proposed treatment alternatives while managing the health risks associated with reclaimed water irrigation. Rotavirus, Salmonella, Giardia duodenalis, and Ascaris were studied as waterborne pathogens. A quantitative microbial risk assessment model was used for the estimation of annual infection risks. The exposure scenarios include farmers and vegetable consumers. Activated sludge provided the lowest costs; however, it gave the lowest efficiencies and highest health risks. On the other hand, the highest efficiency and lowest health risks were obtained by the membrane bioreactor. The resulting price of a cubic meter of treated wastewater, used in irrigation, ranged from 0.082 to 0.133 USD. Irrigation using tertiary-treated wastewater achieved the target infection risk for unrestricted irrigation without using advanced treatment facilities. The results of this study could give a comprehensive view of reusing wastewater to decision-makers to address both water and food poverty not only in Egypt but also in other countries in MENA with similar economic and agro-ecological conditions.

Emerging Markets Reward Risk

2016 ◽  
Vol 7 (3) ◽  
pp. 65-76
Author(s):  
Salim Lahmiri ◽  
Stephane Gagnon
Keyword(s):  
Financial Crisis ◽  
North Africa ◽  
Stock Markets ◽  
Mena Region ◽  
2008 Financial Crisis ◽  
International Financial Crisis ◽  
Show Evidence ◽  
European Stock Markets ◽  
The Relationship ◽  
Asset Managers

The relationship between risk and return in Middle East and North Africa (MENA) region stock markets is estimated during 2008 international financial crisis; including Jordan, KSA, Morocco, and Turkey. For comparison purpose, stock markets from Europe are also examined; including, FTSE (UK), CAC40 (France), DAX (Germany), and the Swiss market. The empirical findings show evidence that; contrary to European stock markets; MENA region stock markets generally reward risk during 2008 financial crisis. This result is important for international asset managers and investors to consider investing in emergent markets from MENA region.

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