Abstract

The main purpose of this research is to estimate the financial risk of the Iraqi stock exchange by using value at risk, VaR, as one of the most recent techniques used in risk management models, in this thesis, I have used three of the most popular models of VaR, that is, historical simulation, variance-covariance and Monti-Carlo simulation, the variance-covariance method and the Monti-Carlo simulation estimate lower risk- in general -than the Historical simulation, this case refers to reject the second hypothesis which claims no differences among the measurement methods of VaR, however, the most important finding in this research is that the Iraqi stock exchange, ISE does not include significant losses for stock investors, this finding supports accept the first hypothesis of the research and it requires deregulation of the market. The computations were made with a (95) percent confidence and using a sample of (49) weekly observation for year 2013 and (42) weekly absrvtoin for year 2014.