The political and economic instability in recent years and followed by rapid changes in the realm of financial markets, has increased the risk of most financial institutions. So that risk managers at these institutions are worried about the decline in their asset value More
The political and economic instability in recent years and followed by rapid changes in the realm of financial markets, has increased the risk of most financial institutions. So that risk managers at these institutions are worried about the decline in their asset value over the coming days. In recent studies, generally the Conditional Value at Risk is used to measure and forecast the risks existing in financial markets. Therefore, in this research, it has been attempted to introduce, calculate and implement a nonlinear hybrid model for forecasting the Conditional Value at Risk. For this purpose, the new hybrid model based on the Extreme Value Theory and the Holt-Winters exponential smoothing (HWES-EVT) that, in addition to dynamics, cluster characteristics and broad data sequence, also takes into account the forecast Conditional Value at Risk of the industry and Tehran Stock Exchange Indices. For evaluating the accuracy the performance of proposed hybrid model, this modek is compared with the GARCH-EVT model. The results of backtesting show that the proposed hybrid approach provides a more accurate answer to the forecasting of Conditional Value at Risk for these indicators Indices.
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Quantifying the uncertainty is one of the most important subject in financial issues, so nowadays in each financial and investment activity risk assessment and management is required. Value-at-risk (VaR) has become a popular risk measure since it was adopted by the Inte More
Quantifying the uncertainty is one of the most important subject in financial issues, so nowadays in each financial and investment activity risk assessment and management is required. Value-at-risk (VaR) has become a popular risk measure since it was adopted by the International agencies in 1988. Precise prediction of VaR provides proper evaluation criteria in areas such as investment decision-making and risk management. Due to the fat-tailed distribution in most real financial time-series, extreme value theory (EVT) is a powerful tool in determining the VaR by concentrating on the shape of the fat-tailed probability distribution. In This study, Peak Over Threshold (POT) approach used for value at risk forecasting by Tehran Stock Exchange (TSE) data. The results show this approach is better than traditional approaches such as historical simulation and variance-covariance methods.
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Estimation of extreme dependence between assets and financial markets plays a vital role in various aspects of financial risk. Extreme value theory (EVT) focuses on modeling the tail behavior of distribution using extreme values. The purpose of this paper is to investig More
Estimation of extreme dependence between assets and financial markets plays a vital role in various aspects of financial risk. Extreme value theory (EVT) focuses on modeling the tail behavior of distribution using extreme values. The purpose of this paper is to investigate asymptotic dependence and estimate the degree of tail dependence of the TSE daily returns with five other international markets (DFM, S&P-500, Nikkei-225, DAX and CAC All Shares) for right and left tails of the return distribution.
The degree and type of extreme dependence of these stock markets is investigated by nonparametric measures based on multivariate EVT (MEVT) for the period from 2006 to 2015. We used a vector autoregressive (VAR) and MGARCH to filter out any serial correlation and heteroskedasticity between any two return series.
The results show that Tehran security exchange (TSE) is asymptotically independent from other stock markets. Furthermore, the highest degree of positive dependence is shown between TSE and DFM in both tails.
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Based on his substantial and intensified motion, man is created in such a way that he attains a level that is prone to receiving divine inspirations or evil inductions and all kinds of dangers. "khavᾱter" are of two types, which are divine categories and enter the human More
Based on his substantial and intensified motion, man is created in such a way that he attains a level that is prone to receiving divine inspirations or evil inductions and all kinds of dangers. "khavᾱter" are of two types, which are divine categories and enter the human heart from God, which is called "inspiration", and a category descends from the devil into the human heart, which is called "induction". Sometimes divine inspirations are mediated and sometimes unmediated. The mediators of inspiration are called the angels. The opposite of inspiration is induction by the devil. Tazkirat al-Awliya is a mystical work on the biography of the great saints, written by Sheikh Farid al-Din Muhammad Attar Neyshabouri. The research method of this essay is analytical-descriptive. Because the subject of this article is presented for the first time, it is important in this regard. In the book Tazkirat al-Awliya ', the inspirations are more than the instincts and are mostly done by listening. In this article, the authors try to discuss examples of inspirations and inductions from the book Tazkirat al-Awliya.
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The Process Dissociation Procedure (PDP) was used in the present study for two purposes: 1) to measure separately the contribution of automatic and controlled processes in subject-performed tasks (SPT) and verbal tasks (VT). 2) to explore whether SPTs and VTs differ wit More
The Process Dissociation Procedure (PDP) was used in the present study for two purposes: 1) to measure separately the contribution of automatic and controlled processes in subject-performed tasks (SPT) and verbal tasks (VT). 2) to explore whether SPTs and VTs differ with respect to automaticity. in Experiment 1, SPTs and VTs were manipulated in two separate exclusion conditions. In Experiment 2, both SPTs and VTs were manipulated simultaneously in one exclusion condition. Furthermore, in Experiment 3, the subjects were not told to remember SPTs and VTs and were not informed about a later memory test. The results of all three experiments, conducted on a total of 45 undergraduate students, revealed that PDP is not a suitable instrument for distinction bet-ween automatic (implicit) and controlled (explicit) process-ing, and not generalizable for different situations or diffe-rent learning materials. The results are discussed with respect to violation of two PDP assumptions (i.e., invari-ance in familiarity and in recollection).
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This study aims to examine the optimal loan portfolio policy for Bank-e Saman, using the Markovitz modern portfolio model (2591). Generally, in Iran the Banks are allowed to offer loans to four economic sectors including services, manufacturing and mining, construction More
This study aims to examine the optimal loan portfolio policy for Bank-e Saman, using the Markovitz modern portfolio model (2591). Generally, in Iran the Banks are allowed to offer loans to four economic sectors including services, manufacturing and mining, construction and agriculture. Loans offered to production sectors are treated the most risky venture for the banking sectors. However, the results of this study indicate that the Bank-e Saman has pursued a desired diversification policy to maintain its optimal loan portfolio as advocated in Markovitz model. In its optimal loan portfolio policy, service sector has enjoyed the lion's share of 59 percent of bank's total loans portfolio, followed by manufacturing and mines, housing and construction, and agriculture respectively. The distribution of loan portfolio by economic sectors over the period of 2832 to 2839 (corresponding to 1001 to 1005) is proved to be inclined towards the optimal pattern. Yet, due to certain restriction inherited in Markovtz model, some of discrepancies or deviations in optimal loan performance can not be explained. Thus in order to be able to address such shortcomings, the model requires to include some factors such as the real need of credit market, based on the accommodation principle, into model. Besides some factors such as formal and informal regulations have a strong bearing on bank loan portfolios which should be taken into account as well.
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Abstract In this research, the GARCH-EVT-COPULA method is investigated to determine the dependency structure and portfolio risk estimation on the foreign exchange market data in Iran. GARCH-EVT models are used to mariginal distribution of each of four currency returns s More
Abstract In this research, the GARCH-EVT-COPULA method is investigated to determine the dependency structure and portfolio risk estimation on the foreign exchange market data in Iran. GARCH-EVT models are used to mariginal distribution of each of four currency returns series. For the joint model, we choose five copuls with different dependence structure such as Frank, Clayton, Gumble, Normal and t-Student copulas. In this research portfolio risk is measured using VaR and CVaR.The statistical sample of this study is the daily exchange rate of USD,EURO, Pound and AED for the free market with 5 working days from September to the end of 1396.Based on the results of the research, using the Akaike information criterion values, the t-student function is the best fitted copula model for investigating the dependency structure.Exchange rates have the same upper and lower tail dependencies. Accordingly, in the markets for boom (severe positive) and stagnation (severe negative), the dependence between the two exchange rates is the same.
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An important factor in risk management is optimized conditional value at risk (CVaR) of the portfolio. Choose a model which calculates time depended to variance rather than the model with constant variance lead to improve data modeling. Using an appropriated method for More
An important factor in risk management is optimized conditional value at risk (CVaR) of the portfolio. Choose a model which calculates time depended to variance rather than the model with constant variance lead to improve data modeling. Using an appropriated method for measuring risk in financial asset returns distribution has a great utility. The main purpose of this study is implementing a hybrid procedure to calculate CVaR which, models, volatility and dynamics in clusters, and calculates CVaR value based on fat tail feature. In this case, using Extreme value theory (EVT) leads to calculate CVaR more precisely. In addition to, using some ARCH (autoregressive conditional heteroskedasticity) family models result to dynamic feature in estimating CVaR. Data were used in this study related to TEDPIX during 2001-2015. Total 2781 data were derived from Rahavard Novinand & TseCline softwares as daily. For analysis this TEDPIX data, MATLAB software and EXCELL were used. This result represented, return data distribution has fat tail. The historical simulation (HS) at 95% confidence level isn’t accurate, while the accuracy Generalized Auto-Regressive Conditional Heteroskedasticity-EVT (GARCH-EVT) model at 95% is more suitable. Using (Fractionally integrated generalized autoregressive conditional heteroskedasticity -EVT) FIGARCH-EVT method leads accurate estimates of CVaR in comparison with HS procedure. Calculating CVaR by FIGARCH-EVT-CVaR was more accurate than the GARCH-EVT-CVaR. This model has considered to both GARCH-EVT features and long memory property. The FIGARCH-EVT-CVaR model had acceptable accuracy and its exceptions are independent. In General, models which considered heteroscedastic, had an acceptable accuracy in comparing HS
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در این مقاله به بررسی استفادهی از گیربکسهای پیوسته متغیر (CVT) بر روی خودروی داخلی سمند پرداخته شده است. برای بررسی چگونگی استفاده از آن برروی خودروی سمند، این خودرو با مکانیزم CVT در محیط نرمافزار ADVISOR شبیهسازی شده و سپس با سمند فعلی که دارای جعبهدند More
در این مقاله به بررسی استفادهی از گیربکسهای پیوسته متغیر (CVT) بر روی خودروی داخلی سمند پرداخته شده است. برای بررسی چگونگی استفاده از آن برروی خودروی سمند، این خودرو با مکانیزم CVT در محیط نرمافزار ADVISOR شبیهسازی شده و سپس با سمند فعلی که دارای جعبهدنده معمولی است، مقایسه شده است. سپس، به تحلیل نتایج حاصل از عملکرد این خودروی شبیهسازی شده پرداخته شده است. این تحلیل شامل انتخاب و معرفی سیکل حرکت شهری مناسب، میزان مصرف سوخت و عملکرد خودرو تحت سیکل حرکتی یکسان برای هر دو خودرو است. اثر سیکلهای حرکتی مختلف و بررسی رفتار قوای محرکه نیز در هر دو صورت گرفتهاست. نتایج بهدست آمده نمایانگر کاهش مصرف سوخت و افزایش بازده نهایی در اثر استفاده از مکانیزم CVT است. در انتها ارزش اقتصادی استفاده از این مکانیزم CVT به اختصار بیان شده است.
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