Applying Conditional Value at Risk to Evaluate the Level of Risk In (Global X U.S. Infrastructure Development Index)

This article discusses using value at risk and conditional value at risk to evaluate the levels of risk in infrastructure index and top five companies included in this index and other two American indexes in the financial market (S&P 500 and Dow Jones Industrial Average). Many problems appear when applying different methods for evaluating infrastructure projects risks and their indexes in financial markets. This study tries to use Conditional Value at Risk to remove the disadvantages of using only value at risk. The novelty and results in this paper can be summarized as follow: Researchers did not measure until now the conditional value at risk of infrastructure indexes in financial market. Evaluating the level of risk in (Global X U, S, Infrastructure Development index) by using VAR and CVAR will be used first time in this article. The results of applying VAR and CVAR analysis show that, in comparison with (S&P 500) and (Dow Jones Industrial Average) indexes, the infrastructure development index has higher risk indicators and higher values of VAR and CVAR. A rational decision can be taken according to the results of this study. Also, theoretical and practical researches in infrastructure projects and their indexes in financial markets can be improved depending on the results of this study.