Comparative Analysis of Sukuk and Conventional Bonds Based on the Value-At-Risk Model

15 Pages Posted: 31 May 2016

See all articles by Bakhshi Kostandyan

Bakhshi Kostandyan

Moscow State University - Faculty of Economics

Date Written: May 28, 2016

Abstract

The present paper looks into the question of whether it provides the investor diversification benefits to include sukuk (Islamic bonds) in their portfolio of bonds, and what these might be quantitatively. Analysed are sovereign bonds of Bahrain, Pakistan, Qatar, Malaysia, and the UAE. The conclusion is that using sukuk to diversify a portfolio yields substantial benefits.

Keywords: Islamic Finance, Sukuk, Bonds, Value-At-Risk

JEL Classification: G11, G15, G39

Suggested Citation

Kostandyan, Bakhshi, Comparative Analysis of Sukuk and Conventional Bonds Based on the Value-At-Risk Model (May 28, 2016). Available at SSRN: https://ssrn.com/abstract=2786096 or http://dx.doi.org/10.2139/ssrn.2786096

Bakhshi Kostandyan (Contact Author)

Moscow State University - Faculty of Economics ( email )

1-46 Leninskiye Gory
Moscow, 119991
Russia

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