The impact of market risks in the Credit Bank of Iraq

Abstract

Study design: The mathematical and statistical method was used in calculating the VaR by relying on JP. Morgan in measuring the market risk of a hypothetical trading portfolio that is exposed to foreign exchange rate risk and stock price risk, as well as analyzing the portfolio consisting of foreign exchange positions and stocks and measuring the values at risk for each position exposed to market risk to arrive at the total market risk through a matrix model. JP.Morgan  The study was conducted on the Iraqi Credit Bank, and for a period of seven years from ((2015 to 2021)), where the Iraqi Credit Bank had the lowest risk (0.090) according to the standard deviation of the portfolio, and accordingly the value at risk was applied to the Iraqi Credit Bank and its impact was measured in It has been financial and statistical analysis. The study came to the conclusion: It is clear from VAR1 of the Credit Bank of Iraq that the year 2015 is the most at-risk, amounting to 742,877,366 (2) billion dinars, due to the bank having a large financial position of shares equal to 3,593,651,716) billion dinars and the highest price volatility equal to (0.241). For the rest of the years, the values at risk are high only in 2019, as they reached (185,345,479) with a financial position of (7,632,476,873) billion dinars.