Selection of the optimal method in calculating the value at risk of investment fund

Subject Areas : Financial engineering

Ali Najafi moghadam ¹ (Professor asistant, Department of Management and Accounting.Islamic Azad University,Tehran South Branch.)

Received: 2016-11-09 Accepted : 2017-01-26 Published : 2017-06-22

Keywords: Monte Carlo Simulation, Value at risk, Investment Fund Open, historical simulation, parametric method,

Abstract :

During the past several years experience extraordinary explosion of collective investment organisms or of investment companies (who buys the shares of other companies), led to the agencies responsible for controlling and monitoring these investments are a The series is based on Value at Risk management guidelines apply. But the flexibility that many questions regarding the accurate and appropriate estimation model provokes. The purpose of this article Choose from three parametric method, historical simulation and Monte Carlo Simulation is the best way to predict the possible losses if the investment fund files open Tunisians find. For this purpose, different methods of estimating VaR propose. The descriptive statistical characteristics of 14 cases we analyzed combined investment fund. Then we present the results of experimental studies, so we can take advantage of Monte Carlo simulation method to predict the potential value of the company's chief of investor Tunisian specify.