List of Articles ارزش در معـرض ریسک

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  1 - Assessment and Presentation of a Proper Paradigm to Identify, Measure, and Control Financial Risks in Financial and Credit Institutions (Case Study of Mellat Bank)
  M. Taghavi M. Khodaei Valahzaghard
• Open Access Article
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  2 - Survey on the Fisibility of Substitution Catastrophe Securitization and Current Reinsurance in Iranian Insurance Industry
  Kambiz Peykarjou hanieh davodi
• Open Access Article
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  3 - Estimating Conditional VaR Using Symmetric and Non-Symmetric Autoregressive Models in Old and Oil Markets
  Saeid Fallahpour Fatemeh Rezvani Mohammadreza Rahimi
• Open Access Article
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  4 - Fuzzy Mean-CVaR Portfolio Selection Based on Credibility Theory
  S. Babak Ebrahimi Amirsina Jirofti Matin Abdi
• Open Access Article
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  5 - Portfolio optimization with differential evolution and conditional value at risk approach
  Shahin Ramtinnia Romina Atrchi
• Open Access Article
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  6 - تعیین سبد بهینه سرمایه‌گذاری در صنایع مختلف بورس اوراق بهادار تهران با استفاده از رویکرد VAR-Multivariate GARCH و در نظرگیری ریسک نقدشوندگی
  سید احمد حسینی امینی امیر عباس نجفی
• Open Access Article
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  7 - Risk Analysis & Financial Evaluation in Power Plant BOT
  Faramarz Nouri Parastoo Mohammadi Esmaeil Vassaf
• Open Access Article
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  8 - Using intelligent methods in Solving Constrained Portfolio in Tehran Stock Exchange
  Esmat Jamshidi Eyni Hamid Khaloozadeh
• Open Access Article
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  9 - Using intelligent methods in Solving Constrained Portfolio in Tehran Stock Exchange
  Esmat Jamshdi Eyni Hamid Khaloozadeh
• Open Access Article
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  10 - Comparing the Frechet Distribution and the Generalized Pareto Distribution in Estimating Value at Risk and Conditional Value at Risk in Tehran Stock Exchange
  Azadeh Meharani Ali Najafi moghadam Ali Baghani
• Open Access Article
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  11 - Ranking of exchange-traded funds (ETF) And value at risk approach (EVT) based on value-generating theory (VaR) risk approach
  Gholamreza Zomorodian Maryam Sohrabi
• Open Access Article
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  12 - Comparative Analysis of Stock Portfolio Optimization in Fireworks and Genetic Algorithms Using Conditional Value at Risk
  Ali Asghar Shahriari saeed Daei-Karimzadeh Reza Behmanesh
  10.30495/jfksa.2021.19255
• Open Access Article
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  13 - Presenting of nonlinear hybrid model based on Extreme Value Theory for forecasting the Conditional Value at Risk (CVaR)
  Ehsan Mohammadian Amiri Ehan Atefi Seyed Babak Ebrahimi
• Open Access Article
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  14 - Analysis of financial risk in the cryptocurrency market: Evidence from predicting value at risk
  Zahra Bozorgtabar Baei Reza Aghajan Nashtaei Mohammad Hasan Gholizadeh
• Open Access Article
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  15 - Portfolio optimization by using the Copula Approach and multivariate conditional value at risk in Tehran Stock Exchange
  Mirfeiz Fallahshams Amir Sadeghi
• Open Access Article
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  16 - Evaluation of multivariate GARCH models in estimating the Values at Risk (VaR) of currency, stock and gold markets
  abdollah rajabi khanghah Hashem Nikoomaram Mehdi Taghavi Mirfeiz Fallah Shams
• Open Access Article
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  17 - Calculating Tail Value at Risk Using a EGARCH-Extreme Learning Machine Model And The long-term forecast approach in the insurance industry
  reza raei Azam Honardoust ezzatolah abbasian
• Open Access Article
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  18 - Portfolio VaR Modelling using EVT-Pair-Copulas Approach
  Ali Souri Saeed Falahpor Ali Foroush Bastani Ehsan Ahmadi
• Open Access Article
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  19 - Investment Portfolio Optimization of Insurance Companies with Copulas and Extreme Value Approach
  arash goodarzi reza Tehrani Ali souri
• Open Access Article
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  20 - Application of Copula and Simulated Returns in the Portfolio Optimization with Conditional Value-at-Risk (CVaR) in Tehran Stock Exchange (TSE)
  Esmaeil Lalegani Mostafa Zehtabian
• Open Access Article
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  21 - An Investigation of methods to reduce transaction costs in Tehran Stock Exchange
  Romina Atrchi Shahin Ramtinnia
• Open Access Article
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  22 - Presentation of a model for the active optimization of stock portfolios using value at risk exposure; Application of Convergence Variance Difference Models Approach Based on Algorithm DE Approach
  Saeid Fallahpour Reza Raei M. Esmaeil Fadaeinejad Reza Monajati
• Open Access Article
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  23 - The Effect of Portfolio Diversification on Value at Risk in Tehran Stock Exchange (TSE)
  Ali Rostami Narges Niknia
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  24 - A novel Meta-Heuristic method for solving an extended Markowitz Mean–Variance portfolio selection model
  Gholamreza Eslami Bidgoli Ehsan Tayebi Sani
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  25 - Application of Extreme Value Theory in Value at Risk forecasting
  Hosein Falahtalab Mohammadreza Azizi
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  26 - Multivariate GARCH models". Journal of business and economic statistic Value at Risk and Spillover effect estimate using MGARCH
  Mohammadreza Rostami Sahar Farahmand
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  27 - Expression and design a model to forecast the exchange rate shocks and stress testing of the currency in Iran
  Abdollah Rajabi Khanghah Hashem Nikomaram Mehdi Taghavi Fereydoon Rahnamay Roodposhti Mirfiyaz Fallah Shams
• Open Access Article
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  28 - تخمین سرمایه مورد نیاز در حوزه بانکداری به منظور پوشش زیانهای غیرانتظاری ناشی از نکول اعتباری به کمک آزمون استرس
  مهسا قربانی جزین کامیار عسکری
• Open Access Article
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  29 - The Estimation of Systematic Risk in Iranian Financial Sectors (ΔCoVaR Approach)
  samad hekmati farid Ali Rezazadeh ali malek
• Open Access Article
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  30 - Forecasting Future Trends of the Stock Market Using the Probit Regression Approach with Emphasis on Value at Risk
  Seyed Ali Mousavi Loleti Emran Mohammadi Saeed Shavvalpour
  10.71848/jcma.2024.997392
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  31 - Designing and explaining the dynamic model of comprehensive risk transfer of cryptocurrency in the financial markets of the world
  Reza Karimi Mirfeiz Falahshams Shadi Shahverdiani Gholamreza zomorodian
  10.30495/ecomag.2023.1979337.1057
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  32 - Wavelet based Filtered historical simulation value at risk model in different time horizons in Tehran Stock Exchange
  وحید ویسی زاده جواد شکرخواه میثم امیری
  10.30495/fed.2021.687914
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  33 - مقایسه ارزش در معرض ریسک سهام تهران با بازارهای سهام بین المللی با استفاده از نظریه ارزش فرین شرطی
  شهرام بابا لویان هاشم نیکو مرام حمیدرضا وکیلی فرد فریدون رهنمای رود پشتی
  20.1001.1.25383833.1399.14.52.3.3)
• Open Access Article
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  34 - Value at Risk Assessment in Tehran Stock Exchange using Non-parametric and parametric Approaches
  ebrahim ghanbari memeshi seyed ali nabavi chashmi erfan memarian
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  35 - مقایسه کارایی مدل میانگین- واریانس و نظریه ارزش فرین در بهینه سازی سبد سرمایه گذاری در بورس اوراق بهادار تهران
  افسانه سینا میرفیض فلاح
• Open Access Article
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  36 - Assessing the Transparency of Selected Private Banks' Information Based on Risk Criteria (Value At Risk)
  Hossein Abdo Tabrizi reza tehrani Ghodratolla Imam Verdi Saeed Fallahpour Ali Baghani
  10.30495/faar.2022.697084
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  37 - مقایسه کارایی روش های GARCH و ARCH در پیش بینی ارزش در معرض ریسک جهت انتخاب پرتفولیوی بهینه
  امیررضا کیقبادی محمد احمدی
• Open Access Article
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  38 - Multivariate Portfolio Optimization under Illiquid Market Prospects
  Nastaran Sarvipour fatemeh samadi
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  39 - Presenting the combined algorithm of machine learning and the combination of risk metrics and fuzzy theory in choosing an investment portfolio
  danial mohammadi Seyed jafar Sajadi Emran Mohammadi naeim shokri
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  40 - Value Risk Assessment of Stock Indexes Based on Parametric, Quasi-Parametric and Nonparametric Approaches (Tehran Stock Exchange Study)
  ebrahim ghanbari memeshi seyyed ali nabavi chashmi erfan memarian
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  41 - The assessment of extreme value theory and Copula - Garch models in prediction of value at risk and the expected short fall in portfolio Investment Company in Tehran stock exchange.
  ali alizadeh Mirfeiz Fallah
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  42 - Designing a Risk Assessment Model and determining an Optimal Currency Portfolio for banks by Value-at-risk (VaR) criterion and exponentially weighted moving average (EWMA)
  Gholamreza Bayati Mohammad Ebrahim mohammadPourzarandi
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  43 - Estimation value at risk (VAR) and conditional value at risk (CoVaR) at Tehran Stock Exchange by approach to using Fréchet distribution (FD)
  Azadeh Meharani Ali Najafi moghadam Ali baghani
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  44 - Dynamic GAS Based Modeling for Predicting and Assessing the Value at Risk of Bitcoin and Gold
  Mohammad Ebrahim Samavi Hashem Nikoomaram Mahdi Madanchi Zaj Ahmad Yaghobnezhad
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  45 - Provide a multi-objective - multi-objective mathematical model for investing in a portfolio under a hybrid risk measure
  ahmad dadashpour omrani syed ali nabavi chashmi erfan memarian
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  46 - Multi-Asset Portfolio Optimization based on Conditional Value at Risk using Artificial Bee Colony Algorithm
  Somayeh Mousavi Abbasali Jafari-Nodoushan Marzieh Kazemi-Rashnani Mahsa Mohammadtaheri
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  47 - Long Memory usage in Portfolio Optimization using the Copula‌ Functions: Empirical evidence of Iran and Turkey Stock Markets
  Hasti Chitsazan Motahareh Moghadasi Reza Tehrani Mohsen Mehrara
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  48 - Tail Risk Analysis Using realized measure and Dynamic Asymmetric Laplace Models in Tehran Stock Exchange
  esmail mohammadi salari Mohammad Reza Rostami Reza Gholami Jamkarani Mojganm safa
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  49 - Portfolio optimization based on parametric and nonparametric period value at risk
  Mohamad ali tabibi sayyed mohammad reza davoodi abdolmajid abdolbaghy ataabady
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  50 - تخمین ذخیره سرمایه ریسک عملیاتی در صنعت بانکداری
  هاشم نصرتی کامران پاکیزه
• Open Access Article
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  51 - VaR modeling and back testing of short and long positions according to in Sample and out of Sample: application of family models Fractionally Integrated GARCH
  Mansour Kashi S. Hassan Hosseyni A. Sadat niyazkhani S. Amin Abdollahi
• Open Access Article
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  52 - برآورد و ارزیابی ارزش در معرض ریسک در بازار فارکس
  ابراهیم عباسی
• Open Access Article
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  53 - امکان سنجی استفاده از مدل ارزش در معرض ریسک
  غلامحسین گل ارضی عظیم الله زارعی لیلا دلاوری مرغزار
• Open Access Article
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  54 - کاربرد شبیه سازی مونت کارلو و فرایند قدم زدن تصادفی
  رضا راعی حسین فلاح طلب
• Open Access Article
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  55 - برآورد وارزیابی ارزش در معرض ریسک در بازار فارکس
  ابراهیم عباسی
• Open Access Article
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  56 - Investment portfolio optimization using value at risk under credibility theory with Z-numbers approach
  Amirsina Jirofti Amirabbas Najafi
• Open Access Article
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  57 - برآورد ارزش در معرض ریسک با استفاده از تئوری مقدار حدی در بورس اوراق بهادارتهران
  سعید فلاح‌پور مهدی یاراحمدی
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  58 - پیش بینی ریسک نامطلوب با استفاده از مدلVaRبارویکرد چگالی حداکثرسازی آنتروپی در بورس اوراق بهادار تهران
  میرفیض فلاح شمس لیالستانی عباس صالح اردستانی فریده حق شناس کاشانی سمیه رادسر
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  59 - Forecasting Volatility & Risk Management in Tehran Stock Exchange through Long memory impacts
  ehsan Taiebysani Madihe Changi Ashtiani
• Open Access Article
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  60 - مدیریت ریسک سبد با استفاده از مدلهای تجدید نظر شده ارزش در معرض ریسک (VaR)
  فریدون رهنمای رودپشتی مسعود ملائی
• Open Access Article
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  61 - Statistical ranking of different VaR and ES models by using Model Confidence Set approach for the banking industry: With an emphasis on Conditional Extreme Value Theory
  Alireza Saranj marziyeh nourahmadi
• Open Access Article
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  62 - بررسی مقایسه ای کارایی مدل ریسک سنجی و مدل اقتصادسنجی GARCH در پیش بینی ریسک بازار در بورس اوراق بهادار تهران
  میرفیض فلاح شمس
• Open Access Article
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  63 - بهینه سازی سبدسرمایه گذاری بر اساس ارزش در معرض ریسک
  غلامرضا اسلامی بیدگلی احسان طیبی ثانی
• Open Access Article
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  64 - Optimizing Portfolio through Extreme Value Theory in Tehran Stock Exchange
  Afsaneh Sina Mirfeiz Fallahshams
• Open Access Article
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  65 - Proposition of a model For Forecasting Value at Risk in One Step Ahead
  ehsan Mohammadian Amiri S. Babak Ebrahimi maryam Nezhad Afrasiabi
• Open Access Article
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  66 - Foster-Hart Optimal Portfolio
  sepehr asefi reza eivazlu reza tehrani
• Open Access Article
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  67 - VAR and ES calculation based on the Extreme Value Theory (block maxima and GPD): Evidence from Tehran Stock Exchange (TSE)
  Mansour Kashi S. Hassan Hoseini mohammad Mousa Ghaliliou saeed Golkarian Arani
• Open Access Article
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  68 - Measurement conditional value at risk based on FIGARCH-EVT method at Tehran stock Exchange
  mohammadreza Lotfalipour Mahdiyeh Nosrati abolfazl Ghadiri Moghaddam Mahdi Filsaraei
• Open Access Article
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  69 - Estimation Value at Risk using by combining approach Exteme Value Theory and CIPRA at Tehran stock Exchange
  Ehsan Atefi Meysam Rashidi Ranjbar
• Open Access Article
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  70 - Determine the optimal portfolio weights var-stock approach And compare it with the Markowitz model
  sayyedmohammadmahdi ahmadi hasan lotfi vali rajabi
• Open Access Article
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  71 - Dynamic GAS Based Modeling for Predicting and Assessing the Value at Risk of Tehran Stock Exchange Index and Bitcoin
  Mohammad Ebrahim Samavi Hashem Nikoomaram Mahdi Madanchi Zaj Ahmad Yaghoobnezhad
  10.30495/afi.2022.1956046.1119
• Open Access Article
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  72 - The use of support vector machine and Naive Bayes algorithms and its combination with risk measure and fuzzy theory in the selection of stock portfolio
  Danial Mohammadi Emran Mohammadi Naeim Shokri Nima Heidari
  10.30495/afi.2023.1995691.1257