مقاله Evaluation Approaches of Value at Risk for Tehran Stock Exchange

مقاله Evaluation Approaches of Value at Risk for Tehran Stock Exchange

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مقاله Evaluation Approaches of Value at Risk for Tehran Stock Exchange دارای 29 صفحه می باشد و دارای تنظیمات در microsoft word می باشد و آماده پرینت یا چاپ است

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توجه : در صورت  مشاهده  بهم ريختگي احتمالي در متون زير ،دليل ان کپي کردن اين مطالب از داخل فایل ورد مي باشد و در فايل اصلي مقاله Evaluation Approaches of Value at Risk for Tehran Stock Exchange،به هيچ وجه بهم ريختگي وجود ندارد


بخشی از متن مقاله Evaluation Approaches of Value at Risk for Tehran Stock Exchange :

تعداد صفحات : 29

The purpose of this study is estimation of daily Value at Risk (VaR) for total index of Tehran Stock Exchange using parametric, nonparametric and semi-parametric approaches. Conditional and unconditional coverage backtesting are used for evaluating the accuracy of calculated VaR and also to compare the performance of mentioned approaches. In most cases, based on backtesting statistics Results, accuracy of calculated VaR is approved for historical, Monte Carlo and Volatility-Weighted historical simulation methods. It is also approved for GARCH type of volatility models under normal distribution and Riskmetrics model under student-t distribution. On the other hand, it is observed that parametric approach measures VaR value more than non-parametric and semi-parametric approaches. This result indicates that GARCH type of volatility models under student-t distribution overestimate magnitude of value at risk. Finally, four volatility models of parametric approach including NARCH, NAGARCH and APGARCH under normal distribution and Riskmetrics under student-t distribution are selected best methods to measure accurate value of VaR.

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مقاله Evaluation Approaches of Value at Risk for Tehran Stock Exchange

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