Page 26 - Azerbaijan State University of Economics

THE JOURNAL OF ECONOMIC SCIENCES: THEORY AND PRACTICE, V.81, # 2, 2024, pp. 4-29

• The proper application of value at risk in the Algerian External Bank requires
increasing the level of investment in modern banking technology, and relying on
modern programs that increase the speed and efficiency of risk assessment.

• To estimate the OpVaR of the EBA bank , a network of risk factors was formed
consisting of the computer failure event and the embezzlement event, where the
Monte Carlo method was used for the computer failure event, while the scheduling
process was used in the case of the embezzlement event.

• The application of the value at risk to estimate the operational risks in the Algerian
External Bank gave satisfactory results - based on the data obtained from the bank
(which are estimated data based on the experience of the bank's manager) - which can
be relied upon in determining the capital requirements necessary to cover those risks,
as it is estimated at 3228.17 million DZD, which represents the maximum loss that a
bank can suffer at a level of confidence of 99%.

Hypothesis Testing

This study was based on two main partial hypotheses, as follows:
• The first partial hypothesis: "The nature of the operational risk data makes it more
difficult to estimate the value at risk for it", which is a correct hypothesis and this has
been proven based on results No. 02 and 03.

• The second partial hypothesis: "The application of the value-at-risk method is useful
in providing accurate estimates of the capital requirements necessary to cover the
risks", which is a correct hypothesis and this has been proven based on results No. 01
and 07.

From the above, it was concluded to prove the validity of the main hypothesis that
"the proper application of the value-at-risk method to estimate the operational risks in
the Algerian External bank requires the existence of some basic requirements that are
not available in the bank under study", which is a correct hypothesis based on results
Nos. 02, 04, 05, and 07.

Recommendations
By studying the various aspects of the topic, a number of suggestions can be made, as
follows:

• The value-at-risk approach should be given greater importance academically and
practically in order to provide the human competencies required to control its models.

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