Value-at-risk adjusted to the specificities of emerging markets: An analysis for the Tunisian market

The specific criteria to the microstructure of emerging markets such as low liquidity, very pronounced asymmetric information, and high volatility affect the risk market. Previous researchers have concluded that the calculation methods of the Value-at-Risk (VaR) adopted in developed markets are poorly adapted to the specific structure of emerging markets. The purpose of this paper is to see what these specific criteria of emerging markets are and whether these criteria have any impact on market risk and hedging capital. A second purpose it to see if practitioners should adjust the tools of risk measurement to the specifications of emerging markets and how the Value-at-Risk (VaR) should be adjusted. The paper demonstrated a market improvement in the performance of adjusted VaR. Indeed, models for measuring the VaR adjusted to liquidity and to asymmetry of information are accepted by the tests of backtesting. The term of average error has decreased.