Academic Editor: Youssef EL FOUTAYENI
Received |
Accepted |
Published |
31 January 2020 |
15 February 2020 |
10 March 2020 |
Abstract: The stochastic approximation methods are a family of iterative method used in solving problems where the observation is disturbed by noise normally distributed. In this communication we will be using the stochastic approximation in stock market risk management. A field where risk model is wildly criticized due to the normality of equity return hypothesis which is rarely fulfilled. The stochastic approximation bypasses the normality of return to put hypothesis only on the observed noise, in order to estimate the sensibility of a stock market equity to systemic risk. To achieve that we used statistic mobilization to find the link between some equity return and the S&P Stock market index return as an indicator of systemic risk and added normally distributed noise to get a function which cannot be computed directly, and simulate real economic condition, then we used stochastic approximation to get the value of S&P return that have 50% of chance to cause important loss to the stock market equity studied.
