Download This PaperComparative Analysis of Sukuk and Conventional Bonds Based on the Value-At-Risk Model
15 Pages Posted: 31 May 2016
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: 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
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