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Record identifier : 564905
Personal Name - Primary Intelectual Responsibility : Hesami,Safura
Title and statement of responsibility : Portfolio Risk Assessment through Value at Risk (VaR): The case of ENBANK [Thesis]/حسامی، صفورا;supervisor: Ghadir Mahdavi;advisor: Jamshid Amanee
Publication, Distribution,Etc. : , 2011
Language of the Item : eng
Internal Bibliographies/Indexes Note : Bibliography
Dissertation of thesis details and type of degree : Master of Science
Discipline of degree : , actuarial science
Body granting the degree : , E.C.O. College of Insurance
Summary or Abstract : دف:(یکی از روشای مدرن و گسترده اندازه گیری ریسک روش"ارزش در معرض خطر "است ک‍ ب‍ کمک آن ریسک سرمای‍ گذاری یک موسس‍ مالی برای دستیابی براورد ریسک بازار، تعیین حداقل سرمایه مورد نیاز بانک یا ر موسسه مالی برای پوشش خطرورشکستگی و نیزاندازه گیری حداکثرزیان یک سرمای‍ گذاری در یک دوره معین و یک بازه اطمینان مشخص قابل اندازه گیری است .ممترین دف از این تحقیق معرفی و توسع‍ روشهای عملی براورد مقدار"ارزش در معرض خطر "درسبد دارائی بانک اقتصاد نوین است که بوسیله روشهای مختلف پارامتری بدست می آید .متن تحقیق به زبان انگلیسی است
: We use data from daily portfolio of EN BANK in stock investments case. Data will be gathered from the year prior to the year for which data were analyzed to forecast and estimate daily Value at Risk in the following year. We use the real data of EN BANK portfolio. In this thesis VaR models of EN BANK are estimated in stock investment data. Data of the work days are collected from Tehran Stock Exchange (TSE) market for the full year in solar calendar (1388/1/1 to 1388/12/29) to predict and estimate daily VaR of returns of 1389. Data are collected from five major stock investments of this bank. These investments are in Saipa Company, Zamyad Company, Petroshimi Esfehan Company, Sanati Behshahr Company and Foulad Mobarake Esfehan Company. EN BANK usually invests in Tehran Stock Exchange Market indirectly. The stock investments are usually done through "Sarmaye Novin Company". Approximately, one hundred models are tested to choose the most appropriate model. Finally VaR of 241 work day returns from year the 1388 are calculated with assumption of observations distribution that is tend to be normal, identical and independent. The AIC of final modelX~ARMA (1, 1), Var~ PGARCH (1, 0) is 149.339 and its BIC is 170.248. Therefore this model is the most appropriate one among all tested models. Since it's AIC and BIC is smallest among the entire models we tested. Amount of VaR of final model is 266,624 IRR. As a result, the daily loss and total loss of the next year is predictable with parametric approach, and bank managers can manage the bank investment with this values and they can use above models for volatility to achieve the best results.
Topical Name Used as Subject : Value- at-Risk
: Risk management
: Volatility equation,
: Parametric measurement
Information of biblio record : TL
 
 
 
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