Amina El Bernoussi

Value-at-Risk and Expected Shortfall Estimation for the Moroccan Stock Market: A Comparative EVT Approach with GARCH Filtering

Portfolio management and regulatory requirements rely on the ability to accurately measure extreme market risk, and such events are more evident in emerging markets. In this paper, the Value-at-Risk (VaR) and Expected Shortfall (ES) for the Moroccan All Shares Index (MASI) are estimated between 2006 and 2026 using four...