مجلة المنهل الاقتصادي

Portfolio Risk Assessment In The Saudi And Emirate Financial Markets: A Comparative Study During The Iran-usa War.

Auteurs : Tahi Abderrahmane . Benlekehal Nadjat .

Résumé

This research paper assesses the risks of investment portfolios in the Saudi and Emirati markets during the Iranian-US conflict. By selecting a collection of assets: Saudi Aramco, Al Rajhi, and SNB from the Saudi market, and Emirates NBD, Emaar, and DIB from the Emirati market. The study spans from January 1, 2021, to June 2026, encompassing critical periods of escalation such as April 13, 2024. Employing VaR, CVaR, and stress testing as core risk measures, the analysis concludes that the optimally weighted portfolio recorded no losses in the first scenario, which assumed a 20% loss in Saudi Aramco stock. However, under the second scenario where all constituent assets decreased by 10%, the portfolio incurred a loss of $100,132.

Mots clés

Portfolio Analysis ; Market Shock ; IRAN-US War ; Scenario Analysis ; Energy Sector Risk.