Market Risk Measure and portfolio Optimization

This study was conducted in a context where portfolio securities were subject to financial market risks. What led the bank sold most of these securities in mid-March. In this work, the problem we were considering was to measure the level of loss that the BEAC would suffer as a result of an exposure of its asset management portfolio to interest rate risks. The objective of the work was to determine the position of this portfolio in relation to interest rate risks in order to ensure the choice of appropriate tools to measure these risks and to have an optimal portfolio. More specifically, it was about: describe the assets' portfolio of BEAC; valuate on a historical basis, the prices and the market value of the different lines of the assets; test the adequacy of this distribution to the normal law; find a solution of the portfolio optimization problem; define risk management policies against the potential risk of the portfolio. To achieve our objectives, the methodology used was CVaR Portfolio Optimization. At the end of this work, all our objectives have been achieved.