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Record identifier : 564903
Personal Name - Primary Intelectual Responsibility : Najjar,Ali
Title and statement of responsibility : GARCH Methods for Value at Risk of Portfolio: The Case of Tehran Stock Exchange Market-Conditional Copula [Thesis]/نجار، علی;supervisor: Reza Ofoghi;advisor: Atousa Goodarzi
Publication, Distribution,Etc. : , 2011
Language of the Item : eng
Internal Bibliographies/Indexes Note : Bibliogrphy
Dissertation of thesis details and type of degree : Master of arts
Discipline of degree : , Actuary
Body granting the degree : , E.C.O.College of Insurance
Summary or Abstract : شرطی باتوجه به معیارهای مختلف همواره کاراترین روش نمی باشند و بهترین روش برآورد ارزش در معرض ریسک به شاختار دادهها و معیار سنجش کاراترین مدل بستگی دارد copula-Garch شرطی: مطالعه موردی بورس اوراق بهادارتهران‌است.افته های ایم‌ن مطالعه نشان می دهد که copula-Garch هدف تحقیق:ارزش در معرض پرتفوی با استفاده از روش
: Value at risk (VaR) is one of the most important criteria for risk measuring, which is often used at financial institutions for risk measuring.The VaR is largely used to measure the risk of a portfolio. One of the main difficulties in estimating VaR is to model the dependence structure, especially because VaR is concerned with the tail of the distribution (Hotta et al., 2008). There are several approaches for the estimation of VaR, such as the variance-covariance (also known as analytical), the historical simulation and the Monte Carlo approaches. The analytical approach has been largely used after the publishing of the Riskmetrics methodology. This approach adopts the assumption of multivariate normality of the joint distribution of the assets returns. In this case, the covariance matrix is a natural measure of dependence between the assets and the variance is a good measure of risk.This study will combine copula and forecasting function of GARCH model, which called conditional copula-GARCH method, to estimate portfolio's VaR, composed of two stocks. Two portfolios will investigate, the first portfolio from Tehran Stock Exchange and composed of 'Tehran Cement' and 'Fars Cement'. The second portfolio fromNASDAQ Stock Market and composed of ANAT and NWLI. The study will try to compare extracted VaR from conditional copula-GARCH method with traditional methods, to show which models captures the VaR more successful.
Topical Name Used as Subject : Copula
: GARCH
Information of biblio record : TL
 
 
 
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