Value Risk Assessment of Stock Indexes Based on Parametric, Quasi-Parametric and Nonparametric Approaches (Tehran Stock Exchange Study)
Subject Areas : Financial engineeringebrahim ghanbari memeshi 1 , seyyed ali nabavi chashmi 2 , erfan memarian 3
1 - Department of Finance, Babol branch, Islamic Azad University, Mazandaran, Iran.
2 - Department of Finance, Babol branch, Islamic Azad University, Mazandaran, Iran.
3 - Department of Economy, Babol branch, Islamic Azad University, Mazandaran, Iran
Keywords: Value at Risk, stock exchange, parametric, Semi-Parametric, Quasi-Parametric,
Abstract :
The purpose of the present study is to evaluate the value at risk of stock indexes based on parametric, quasi-parametric and non-parametric approaches in Tehran Stock Exchange on the basis of data collected during the period of 2009-2010. The purpose of this study is practical. On the other hand, the present study is empirically oriented epistemologically, its inductive reasoning system, and field-library study using causal-historical information (ie, past information). In this regard, the performance of each of the above approaches was evaluated and finally the accuracy of accuracy was evaluated by the Basel Committee test and Bin, POF and TUFF frequency tests. The results show that parametric, quasi-parametric and semi-parametric models have priority in terms of efficiency and accuracy, respectively. In addition, the results from another perspective show that non-parametric and semi-parametric models based on error ratio and post hoc tests have overestimated the value of risk exposure, although the contribution of nonparametric model is higher
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