tailieunhanh - VALUE-AT-RISK IN MUTUAL FUNDS WHICH METHODOLOGY OF ESTIMATION

The tax-exempt money market is more complex than the taxable money market. That’s largely because of a supply-and-demand imbalance for very short-term municipal securities. There’s a high level of demand for these issues—much of it coming from individuals who want to minimize their tax bill by placing their cash in a tax-exempt money market mutual fund. But supply is limited. States and municipalities generally prefer to issue longer- term securities, since the money raised is normally used to support long- lived projects such as roads or buildings or ongoing obligations, including the salaries of public employees. To provide a bridge between lenders and borrowers, a large derivatives market that. | 2ème Conference Euro-Africaine en Finance et Economie CEAFE Fevrier 2008 Ecoie Polytechnique 2ème Conference Euro-Africaine en Finance et Economie CEAFE 5-6 Juin 2008 THEME Markets microstructure VALUE-AT-RISK IN MUTUAL FUNDS WHICH METHODOLOGY OF ESTIMATION GALLALI Mohamed Imen GUESMI Ahlemf Abstract The spectacular explosion experienced by collective investment organisms or mutual funds this few last years drove supervising and controlling organisations of these funds to impose some risk management directives based on value-at-risk. However the concept s flexibility raises many questions concerning the choice of the most accurate and suitable estimation s model. The purpose of this work consists in selecting between the three estimation s methods namely parametric method historical simulation and Monte Carlo simulation to determine the most pertinent methodology providing the prediction of potential losses which confront Tunisian open-end funds portfolios. For this purpose we tried firstly to present the different estimation s approaches of VaR. Secondly we analysed the statistical descriptive characteristics of 14 mixed open-end Portfolios subject of this study. After that empirical study s results have been exposed and therefore allowed us to highlight the Monte Carlo simulation superiority in expecting potential losses inherent to Tunisian mutual funds portfolios. Key words Value-at-risk - open-end funds - Monte Carlo Simulation - Historical Simulation - Parametric Method. Classification JEL G10 G11 G23 C13 C14 C15 Maitre assistant à l Ecole Supérieur de Commerce ESC Université la Manouba. f Enseignante chercheur à FSJEG de Jendouba. Telephone 22 534 907 72 590 492 E-mail guesmi ahlem@. Auteur à contacter Adresse 54 Route de Tunis Km2 Zarzouna 7021 Bizerte. Ecole polytechnique de Tunis 1 2ème Conference Euro-Africaine en Finance et Economie CEAFE Fevrier 2008 THEME Microstructure des marches VALUE-AT-RISK EN SICAV QUELLE METHODOLOGIE D ESTIMATION .