Calcul d’une Value At Risk cas d’un portefeuille diversifié [ Calculation of Value At Risk case of a diversified portfolio]

Copyright © 2015 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. ABSTRACT: Chance of our ignorance, lack of information which prohibits predict what the future brings, and the existence of multiple causes that cross the path of winning anyway, all this creates major undesirable effects of this that financial institutions have fully made the effort to graduate uncertainty or rather determine the predictability that now was mathematical statistics and not deterministic form. Among the methods most used in the context of risk management in finance is the Value at risk. This method allows materializing the risk of losing a position or the entire portfolio. The goal of this paper is to clarify some notions about this approach and to have more ideas and trace while giving tracks to highlight the risks, corrected to overcome weaknesses and to better understand the fluctuations. Thus we would calculate the Value At Risk of a diversified portfolio composed of three assets