This paper attempts to picture the impact of the market risk of
ten commercial banks located in Bangladesh with the help of a non-parametric
model known as the Historical Simulation Approach over the course of eight
years. These banks' daily stock prices were used as inputs and analyzed in
Microsoft Excel by means of Percentile and LN function. The study revealed
market risk exposure as third, second-and first-generation banks from the least
to the highest. It also pointed out the ups and downs of these banks' share
prices in the selected period. Further analysis showed the portfolio VaR
estimation for different time intervals.
JEL classification numbers: G32.
Keywords: Value-at-risk, Historical Simulation, Market Risk,