Abstract

This study aimed to know the possibility of applying the value at risk method "VaR" to assess risks in Algerian commercial banks, specifically by applying at the level of the External Bank of Algeria "BEA", by taking a comprehensive look at the value-at-risk method and studying the extensions of this method to measure the various banking risks On the one hand, and on the other hand, a study of the reality and mechanisms of risk management in Algerian banks in general, to determine the extent to which they can adopt the value at risk, and then try to apply the latter at the level of the External Bank of Algeria to find out the maximum loss that the bank may be exposed to in the future at a certain level of confidence, and to determine the capital requirements necessary to cover it. This relied on the case study approach with the use of the interview as a basic tool for data collection, and the use of Excel to analyze the data.
Through this study, it became clear that the Value at Risk method can be applied in Algerian banks, with limitations related to some deep reforms at the level of the Algerian banking system, in order to be able to keep pace with the process of adopting and using these models, this can only be achieved by establishing a comprehensive and accurate database, advanced and specialized programs, a qualified human cadre, with the adoption of an effective credit rating system that meets international performance levels, in addition to the need to establish a committee and a specialized structure to manage risks, all of this to create Greater flexibility in dealing with volatile risks in the modern business environment.
Key words: Risk management, Value at Risk, Capital requirements, Credit rating.

Information

Item Type:	Thesis
Divisions:	» Faculty of Economic, Commercial and Management Sciences
ePrint ID:	2925
Date Deposited:	2022-03-14
Further Information:	Google Scholar
URI:	https://www.univ-soukahras.dz/en/publication/article/2925

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