Islamic Economics Studies Bi-quarterly Journal

Computing the CVaR of Islamic Securities (Sukuk) (Case study of Murabahah, Ijarah and Musharakah Securities)

Document Type : Research Paper

Author

Assistant Professor of Economics, Faculty of Humanities, Damghan University, Damghan, Iran

Abstract

Over the past few years, the issuance of Islamic financial securities (sukuk) in the country's capital market (OTC) has become very popular. The important thing about these securities is that they buy and sell in the secondary market, which may be more or less than their nominal price, and from this perspective, it is risky. Therefore, various sukuk issued in the country's capital market have risks in terms of price fluctuations that should be quantified and bonds should be classified on this basis. Conditional Value at Risk (CVaR) is one of the risk measures that shows the maximum amount of loss of an asset with a probability q percent (confidence level). Due to the fact that the price of these bonds in the secondary market is determined indefinitely and randomly, so in this study using geometric Brownian motion, the value at risk of conditional risk of the bonds for selected symbols using coding in software MATLAB is calculated. Finally, it is found that on average, the symbols related to participation bonds have the highest value of conditional risk and then are assigned to the symbols of rent and participation, respectively. It is also shown that the amount of price Volatility (σ) is inversely related to the value at conditional risk. The value of the average price (μ) is directly related to the value at risk.

Keywords

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Islamic Economics Studies Bi-quarterly Journal
Volume 14, Issue 2 - Serial Number 28
May 2022
Pages 465-496