| المستخلص: |
يعتبر التخبط المالي من أهم الأمور التي يهتم بها المستثمرون في مختلف بلاد العالم بما في ذلك دولة الباكستان وقد صاحب التغيرات التي حدثت في الأشهر القليلة عام 2008 من ارتفاع هائل في أسعار المواد الغذائية والبترول أن تأثرت البورصات في البلاد النامية بما في ذلك الباكستان ونأمل أن يؤدي هذا البحث إلى إضافة في المكتبة الخاصة بالدول النامية في مجال استخدام النماذج التي تتعامل مع القيم المتطرفة ذات الخطورة على الاستثمارات خاصة الصغيرة منها.
This is a pioneer study of the risk faced by the Pakistan Stock Markets after the recent sudden rise in the price of foodstuffs and oil in a globalized economy that has affected all stock markets not only in Pakistan but in many developing countries and emerging economies. The study of Pakistani Stock Exchange has VaR system more effective than the Slab system. The initial margin charged by the clients under the current Slab System was ranging from 5% to 25% (discussed in the introduction part 1 of the thesis). We found that the margin under VaR base System were maximum to the 5%. Hence, it is proved that the VaR based margins are less than the current Slab Margins. In this manner, the argument that the market depth will decrease by the introduction of VaR margins is nullified. And the hypothesis that the VaR base margins negatively impact the trade volume of the Pakistani Stock Exchanges is rejected in favor of the hypothesis that VaR based Margin System has a favorable rather than a impact on the trade volume of Pakistani Stock Exchanges. The average margin using VaR model is less than the margin collected under current slab system. Therefore, there are three important differences between VAR and the current slab system (i) Under VAR, brokers would pay lower margin on less volatile securities and vice versa, whereas in the slab system, all securities are subject to equal margin rate regardless of their volatility, (ii) VAR margin should increase with increase in volatility whereas in slab system margin rates increase with the size of a broker's outstanding positions, (iii) VAR is a relatively objective system and it is used by a number of international exchanges whereas slab system is highly subjective and obsolete. Due to its superiority over slab system, VAR margins should be a welcome development. \
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