List of Articles ارزش در معرض خطر

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  1 - Estimating Portfolio Market Risk Based on Value at Risk (VaR)
  M. Khalili Araghi S. Hashemi
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  2 - Portfolio Optimization Based on Cross Efficiencies By Linear Model of Conditional Value at Risk Minimization
  K. Yakideh M.H . Gholizadeh M. Kazmi
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  3 - Three steps method for portfolio optimization by using Conditional Value at Risk measure
  S. Navidi sh. Banihashemi M. Sanei
• Open Access Article
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  4 - Investor Sentiment, Left tail Risk & Cross-sectional Stock Return
  Maryam Davalo Raha Behmanesh
• Open Access Article
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  5 - تبیین فرایند چهار گامی محاسبه ارزش در معرض خطر به عنوان معیاری برای اندازهگیری ریسک و پیادهسازی آن در یک مدل بهینه سازی سرمایهگذاری
  زینب سجادی سعید فتحی
• Open Access Article
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  6 - A framework for measuring and predicting system risk with the conditional value at risk approach
  Ja'far Baba Jani M. Taghi Taghavi Fard Amin Ghazali
• Open Access Article
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  7 - Estimating the Investment Risk in a Digital Currency Portfolio and Optimizing it Using Value at Risk
  Ahmad Aghamohammadi Fereydoon Ohadi Mohsen Seighaly Bahman Banimahd
• Open Access Article
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  8 - Risk Measurement in Value at Risk (VaR): Application of Levy GARCH models (Study of Chemical industries in Tehran Stock Exchange)
  hossein amiri mahmood najafi nezhad mohammad sayadi
• Open Access Article
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  9 - Forecasting value-at-risk and expected shortfall using high frequency data modeling
  S. Babak Ebrahimi Negin Mohebbi
• Open Access Article
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  10 - The impact of structural dependence on the efficient frontier of portfolio changes and comparison with traditional methods in Tehran Stock Exchange (Copula functions)
  Mehdi Salehi Samaneh Zamani Moghaddam
• Open Access Article
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  11 - Investigating different methods of estimating tail risk measures with generalized Pareto distribution in Tehran stock exchange
  Eisa Mahmoudi Najme Dehqani Hojjatollah Sadeqi
• Open Access Article
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  12 - Deviation from normal distribution and its impact on the differential value at risk
  Hojatollah Sadeghi Samaneh Dehghan Menshadi
• Open Access Article
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  13 - Studying the correlation structure of risk measures
  Mohammad Ali Rastegar Mohammad Ali Amzajerdi
• Open Access Article
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  14 - Assessing the Efficiency of the Value-at-Risk Index (VAR) using Extreme Value Theory in comparison with traditional risk assessment methods
  Mehrdokht Mozaffari Hashem Nikoomaram
• Open Access Article
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  15 - A Evaluation Power of Value at Risk (VaR) model and Fama & French 3-Factor Estimation model Selecting Optimazed Portfolio of Stock in Stocks Market of Tehran in Year 2001-2008
  دکتر قدرت اله طالب نیا فاطمه احمدی نظام آبادی
• Open Access Article
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  16 - Two-objective optimization of petrochemical portfolio with Strength Pareto Evolutionary Algorithm (SPEA2) by different approaches in portfolio selection
  Arezou Karimi Fatemeh Zakipour
  10.30495/jik.2024.23151
• Open Access Article
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  17 - Effect of asset-liability management on credit risk
  hadi farnian Fraydoon Rahnamay Roodposhti taghi torabi
• Open Access Article
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  18 - Model for Calculating the Deposit Guarantee Fund’s Special Membership Fee Based on Risk
  mehran aarabi ghasem aarabi ali saghafi jafar babajani
• Open Access Article
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  19 - The Development of Forecasting Model for Coherent Risk in Exchange Companies: Accounting data Approach
  Hosein Aryaeinezhad Arash Naderian Hosein Didekhani Ali Khozain
• Open Access Article
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  20 - Performance Assessment of a Mutual Fund Using Fractional Modeling and the Concept of Value at Risk
  Mahmoudreza Khajehnasiri Hamidreza Vakilifard
• Open Access Article
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  21 - Modeling the Liquidity Risk Spillover Between Banks Accepted in the Tehran Stock Exchange Market
  abas banisharif mir feyz fallahshams zad fathi
• Open Access Article
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  22 - Structural Equations Approach in Analyzing the Relationship Between Corporate Governance and Value at Risk with Emphasizing on the Role of Risk Management and Intellectual Capital
  mohammad zamani Yadollah Noorifard Ghodratollah Emamverdi mohsen hamidian Seyede Mahboobeh Jafari
• Open Access Article
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  23 - A New Approach to Evaluate the Performance of Value-at-risk Estimators, Using Genetic Algorithms
  Seyed Ali Nabavi Chashmi Hamze Pourbabagol Ahmad Dadashpoor Omrani
• Open Access Article
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  24 - Algorithmic Trading System for future contract of gold coin based on intra-day data
  Mohammad Ali Rastegar Amin Sedaghatipour
• Open Access Article
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  25 - Dependence structure between Iranian financial system’s sub sectors: a vine copula approach
  Soheil Khalili Reza Tehrani
• Open Access Article
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  26 - Financial risk assessment based on Extreme Value Theory and instantaneous data of Tehran Stock Exchange Index
  Mehrdokht Mozaffari Hashem Nikoomaram
• Open Access Article
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  27 - Examining and Comparing Security of Investment in the Stock, Gold, Exchange and Housing Market of Iran using Value at Risk (VaR) Criteria
  Gholam Reza Zomorodian Mahdi Shabanzadeh. Valiollah . Faryadras
• Open Access Article
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  28 - Selection of optimal portfolio by using improved Non-Dominated Sorting Genetic Algorithm and Evolutionary Algorithm Strength Pareto By taking risk on the basis of conditional value at risk
  Mojtaba Moradi Maryam Ghavidel
• Open Access Article
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  29 - The Revised Sharp Method Examination Based on Value at Risk for Evaluation of Tehran Stock Exchange Companies
  S. Reza Mirghaffari
• Open Access Article
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  30 - Estimating Conditional Value at Risk (CVaR) with consideration the robust of the measure based on robust Cipra method
  Ehsan Mohammadian Amiri Ehsan Mohammadian Amiri Seyed Babak Ebrahimi
• Open Access Article
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  31 - The ranking of Exchange-Trade Funds (ETFs); Applying the parametric value at risk approach
  Gholamreza Zomorodian Fraydoon Rahnamay Roodposhti Maryam Borzabadi Farahani
• Open Access Article
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  32 - Investigation of capabilities of econometrist models in determination of value at risk in investment companies for determination of optimized portfolio in capital market of Iran
  Hashem Nikoomaram Gholamreza Zomorodian
• Open Access Article
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  33 - Comparing Between Multivariate Volatility Models in Estimation of Exchange Rate and Stock Index Relationship
  Hosein Abbasinejad Shapour Mohammadi Sajad Ebrahimi
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  34 - تاثیر شاخص متا مالمکوئیست روی بهینه سازی سبد دارایی
  زهره طائب شکوفه بنی هاشمی
  10.30495/ijim.2022.61818.1532
• Open Access Article
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  35 - Forecasting Daily Volatility and Value at Risk with High Frequency Data
  Amir Mohammad Zadeh Sahar Masoud Zadegan
• Open Access Article
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  36 - Analyzing and measuring the systemic risk between cryptocurrencies and real currencies using the value-at-risk and the marginal expected shortfall
  Zohre Rahimi Gholamreza Zomorodian Azita Jahanshad Mehdi Madanchizaj
• Open Access Article
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  37 - Measuring and Analyzing Systemic Risk in Selected Index of the Tehran Stock Exchange and Examining the Factors Affecting it
  امیر حسین حاجیلو مقدم مهدی ذوالفقاری naeim shokri
  10.30495/ECJ.1403.1062398
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  38 - Portfolio Optimization of Listed Industries in Tehran Stock Exchange using Orthogonal GARCH
  sahar abedini esmaiel abounoori Gh. Reza Keshavarz Haddad
  10.30495/fed.2024.709335
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  39 - Examining the Efficiency Models, Genetic Algorithm under MSV Risk and Particle Swarm Optimization Algorithm under CVAR Risk Criterion in Selection Optimal Portfolio Shares Listed Firms on Stock Exchange
  Dariush Adinevand Ebrahim Ali Razini Mahmoud Khodam Fereydoun Ohadi Elham Elsadat Hashemizadeh
  10.30495/fed.2023.707996
• Open Access Article
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  40 - اندازه‌گیری ریسک نقدینگی بانک با استفاده از مدل ارزش در معرض خطر ( مطالعه موردی: بانک سامان )
  فروغ رستمیان فاطمه حاجی بابایی
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  41 - Stock portfolio optimization using Imperialist Competitive Algorithm (ICA) and Particle Swarm Optimization (PSO) under Conditional Value at Risk (CVaR)
  Arezou Karimi sara goodarzi dahrizi
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  42 - Dependence structure and portfolio risk in Iran exchange market by using GARCH-EVT-Copula method
  Farhad Ghaffari sahar fathi
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  43 - Stock Portfolio Optimization with MAD and CVaR Criteria by Comparing Classical and Metaheuristic Methods
  Mohammad reza Haddadi Younes Nademi Fateme Tafi
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  44 - Optimization and active management of Portfolio Using Aunt Colony Algorithm Considering Uncertainty and Robust Programming; Case: Tehran Stock Exchange
  mohammad hosein ranjbari vahid seyed jalal sadeghi sharif reza eivazlu mohsen mehrara
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  45 - Structural Equation Model Approach in Analyzing the Relationship Between Company Financial status and Value at Risk with Emphasis on The Role of Risk Management
  Mohammad zamani Ghodratollah Emamverdi Yadollah Noorifard mohsen hamidian Seyedeh Mahboubeh Jafari
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  46 - Stock portfolio optimization using multi-objective genetic algorithm (NSGA II) and maximum Sharp ratio
  Arezou Karimi
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  47 - The pervasive risk of the financial crisis in the Iranian banking system with the ARFIMA-FIGARCH-Delta CoVaR approach and the expected marginal Shortfall
  leila barati mirfeiz falahshams farhad ghafari Alireza Heidarzadehhanzaee
• Open Access Article
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  48 - Examining the Efficiency Models, Conditional Value at Risk and Mean Absolute Deviation and Particle Swarm Optimization Algorithm under CVAR and MAD risk criterion in Selection Optimal Portfolio Shares Listed Firms on Stock Exchange
  dariuosh adinehvand Ebrahim ali Razini Rahmani Mahmod khoddam Fereydon Ohadi alhamsadat hashemizadeh
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  49 - Performance Comparison of tcopula GARCH-LVaR with GARCH-VaR To optimize the portfolio in the Tehran Stock Exchange
  Gholam Reza Taghizadegan , Gholamreza Zomorodian rasoul saadi, mirfeyz Fallah
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  50 - Introducing new risk measure Glue VaR and its estimation using composite quantile regression model
  Ali Aghamohammadi Mahdi Sojoudi Meysam Sojoudi mohammad Javad Tavoosi
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  51 - ارزیابی عملکرد پرتفوی در بورس اوراق بهادار تهران
  فریدون رهنمای رودپشتی سیدرضا غفاری
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  52 - مدل‌سازی و ارائه‌ی راه‌حل بهینه برای بهینه‌سازی
  امیرعباس نجفی سیامک موشخیان
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  53 - بررسی توان تبیین مدل های شبکه عصبی درسنجش میزان ارزش در معرض خطر
  فرهاد غفاری هاشم نیکومرام غلامرضا زمردیان
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  54 - بررسی توان تبیین مدل‌های ناپارآمتریک(مونت کارلو) در سنجش میزان ارزش در معرض خطر پرتفوی شرکت‌های سرمایه گذاری جهت تعیین پرتفوی بهینه
  غلامرضا زمردیان میرفیض فلاح شمس یعقوب پناهی زهرا صفری کهره
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  55 - ارزیابی عملکرد پرتفوی در بورس اوراق بهادار تهران:
  فریدون رهنمای رودپشتی سیدرضا میرغفاری
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  56 - Measuring portfolio Value at Risk: The application of copula approach
  Esmaeil Pishbahar sahar abedi
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  57 - مقایسه توان تبیین مدل‌های پارامتریک (اقتصادسنجی) و شبکه عصبی در سنجش میزان ارزش درمعرض خطر پرتفوی شرکت های سرمایه گذاری جهت تعیین پرتفوی بهینه در بازار سرمایه ایران
  غلامرضا زمردیان علی رستمی مهدی کریمی زند
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  58 - The Evaluation of Return and Risk on Investment in Stocks based on the Integration of Asset Pricing Multi-Factor Model and Penalty Function
  Aliakbar Farzinfar hossein Jahangirnia Reza Gholami Jamkarani Hasan Ghodrati Ghazaani
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  59 - مقایسه توان تبیین مدل های ناپارآمتریک و مدل های شبکه عصبی در سنجش میزان ارزش درمعرض خطر پرتفوی شرکت های سرمایه گذاری جهت تعیین پرتفوی بهینه در بازار سرمایه ایران
  غلامرضا زمردیان
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  60 - مقایسه مدل‌ تلاطم تصادفی و مدل‌های GARCH، از طریق محاسبه ارزش
  رسول سجاد شراره هدایتی شهره هدایتی
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  61 - مدلسازی عدم تقارن و تغییر‌ساختاری سری‌های زمانی مالی با استفاده از فرآیندهای Markov-switching GARCH
  رسول سجاد امیرحسین فراهانی راد
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  62 - Developing a Fuzzy Multibjective Model for Multiperiod Portfolio Optimazation Considering Average Value at Risk
  Amir Shiri Ghehi Hosein Didehkhani kaveh Khalili Damghani parviz Saeedi
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  63 - بهینه سازی سبدسهام با استفاده از روش k-means و الگوریتم ژنتیک
  ابراهیم پورزرندی مینا کیخا
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  64 - ارائه الگویی برای اندازه­گیری ریسک دارایی­های ارزی
  محمد خدائی وله­زاقرد حمیدرضا کردلوئی المیرا محمودزاده
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  65 - مقایسه توان تبیین مدل های پارآمتریک (اقتصاد سنجی) و ناپارآمتریک (مونت کارلو) در سنجش میزان ارزش درمعرض خطر پرتفوی شرکت های سرمایه گذاری جهت تعیین پرتفوی بهینه در بازار سرمایه ایران
  غلامرضا زمردیان
• Open Access Article
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  66 - Investigating the Value at Risk of Gold Coin Future Market through Wavelet Analysis Approach
  Mohammad Hamed Khan Mohammadi mehrnoosh ebrahimi
• Open Access Article
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  67 - Futures Contracts Margin Setting by CVaR Approach Based on Extreme Value Theory
  mirFeyz Fallahshams ali Saghafi alireza naserpoor
• Open Access Article
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  68 - Selection of the optimal method in calculating the value at risk of investment fund
  Ali Najafi moghadam
• Open Access Article
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  69 - The evaluation of Systemic Risk in the Iran Banking System by Delta Conditional Value at Risk ( CoVaR) Criterion
  asadollah farzinvash naser elahi javad gilanipour Ghadir Mahdavi
• Open Access Article
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  70 - Estimation of Value at Risk with Extreme Value Theory approach and using Stochastic Differential Equation
  Amir Shafiee reza raei Hossein Abdoh Tabrizi saeed falahpor
• Open Access Article
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  71 - Examining the efficiency of optimization models of multi objective genetic algorithm and particle swarm algorithm under the risk criteria of conditional value at risk and mean smai variance in determining the optimal stock portfolio
  Dariush Adinehvand Ebrahim Ali Razini Rahmani Mahmoud Khoddam Fereydoun Ohadi Elham Sadat Hashemizadeh
  10.30495/afi.2023.1988982.1233
• Open Access Article
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  72 - A Comparison of Optimal Cryptocurrency Portfolios Performance Based on Downside Risk Measures: An Analysis of Quantile-Based Risk Measures
  Mostafa Shabani Hossein Ghanbari emran mohammadi Seyed Ali Mousavi Loleti
  10.71848/jcma.2024.1104452
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  73 - Comparison of Optimal Portfolio Stocks of Food Processing Companies in Value at Risk Framework
  H. اصغرپور F. فلاحی N. صنوبر A. رضازاده