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:: Volume 9, Issue 1 (Winter 2014) ::
J. Mon. Ec. 2014, 9(1): 147-176 Back to browse issues page
Market Risk Recognition by Different Models in Listed Banks of Tehran Stock Exchange and OTC
Mahdi Salehi 1, Mohamad Zamani2
1- Ferdowsi University of Mashhad
2- Islamic Azad University, Tabriz Branch
Abstract:   (2206 Views)

One of the most important methods employed to measure the market risk is value at risk calculation method. In this study, the value at risk of banks listed on the Tehran Stock Exchange and Over-the-counter (OTC) are calculated using parametric model, Monte Carlo simulation, historical simulation and Two-Sided Power (TSP) Distribution. The sample includes all listed banks in Iran. The results showed that the value at risk estimated by TSP and historical models is more accurate than the VaR estimated by Monte Carlo and GARCH models. TSP model and then historical model are more accurate than the other ones. Moreover, GARCH is the least accurate model. So far, no research has been conducted to investigate all four models of value at risk assessment.

JEL Classification: E5, E58, J21

Keywords: Market risk, Value at risk, GARCH model, Monte Carlo method, Historical simulation, TSP method
Full-Text [PDF 968 kb]   (1344 Downloads)    
Type of Study: Original Research - Theoric | Subject: Monetary Economics
Received: 30 Dec 2014 | Accepted: 22 Oct 2016 | Published: 22 Oct 2016
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Salehi M, Zamani M. Market Risk Recognition by Different Models in Listed Banks of Tehran Stock Exchange and OTC. J. Mon. Ec.. 2014; 9 (1) :147-176
URL: http://jme.mbri.ac.ir/article-1-107-en.html

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Volume 9, Issue 1 (Winter 2014) Back to browse issues page
Journal of Money and Economy Journal of Money And Economy
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