THE USE OF INCREMENTAL VALUE AT RISK (IVAR) IN CALCULATING PORTFOLIO RISK USING “ BEFORE AND AFTER

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DEHGHAN MANSHADI SAMANEH; ABDORRAHIMIAN MOHAMMAD HOSSEIN

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Paper Information

Journal: STRATEGIC MANAGEMENT THOUGHT (MANAGEMENT THOUGHT) Year:2018 | Volume:11 | Issue:2 (22) Page(s): 185-204

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Title

THE USE OF INCREMENTAL VALUE AT RISK (IVAR) IN CALCULATING PORTFOLIO RISK USING “ BEFORE AND AFTER" APPROACH

Author(s)

DEHGHAN MANSHADI SAMANEH | ABDORRAHIMIAN MOHAMMAD HOSSEIN | Issue Writer Certificate

Keywords

VALUE AT RISK (VAR)Q2

INCREMENTAL VALUE AT RISK (IVAR)Q1

” BEFORE AND AFTER” APPROACHQ1

TEHRAN STOCK EXCHANGEQ1

Abstract

Financial institutions are faced with different risks among which the market risk is of great significance, because the calculation and control of this risk plays a major role in the success of financial institutions and investors. Out of different criteria and ways to measure market risk, Incremental Value at Risk has been used in the current study. The data of this study consists of the daily prices of stocks of 50 companies active in TEHRAN STOCK EXCHANGE during the year 2013.At first, the daily return of equities price was calculated for each company and then 1 home portfolio and 50 sub-portfolios were formed using equal weighting method. Next, Goodness of fit tests were used to determine the real distribution of portfolios. For the formed portfolios, first, Value at Risk (VaR) and subsequently, Incremental Value at Risk (IVaR) were calculated using ʻ before and after ʼ approach. At the end, with regard to the impact of each stock on reducing portfolio risk, optimum stocks were selected. The results show that Incremental Value at Risk (IVaR) can rightly identify the impact of each stock on the creation of portfolio risk.

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APA: Copy

DEHGHAN MANSHADI, SAMANEH, & ABDORRAHIMIAN, MOHAMMAD HOSSEIN. (2018). THE USE OF INCREMENTAL VALUE AT RISK (IVAR) IN CALCULATING PORTFOLIO RISK USING “ BEFORE AND AFTER" APPROACH. STRATEGIC MANAGEMENT THOUGHT (MANAGEMENT THOUGHT), 11(2 (22) ), 185-204. SID. https://sid.ir/paper/129861/en

Vancouver: Copy

DEHGHAN MANSHADI SAMANEH, ABDORRAHIMIAN MOHAMMAD HOSSEIN. THE USE OF INCREMENTAL VALUE AT RISK (IVAR) IN CALCULATING PORTFOLIO RISK USING “ BEFORE AND AFTER" APPROACH. STRATEGIC MANAGEMENT THOUGHT (MANAGEMENT THOUGHT)[Internet]. 2018;11(2 (22) ):185-204. Available from: https://sid.ir/paper/129861/en

IEEE: Copy

SAMANEH DEHGHAN MANSHADI, and MOHAMMAD HOSSEIN ABDORRAHIMIAN, “THE USE OF INCREMENTAL VALUE AT RISK (IVAR) IN CALCULATING PORTFOLIO RISK USING “ BEFORE AND AFTER" APPROACH,” STRATEGIC MANAGEMENT THOUGHT (MANAGEMENT THOUGHT), vol. 11, no. 2 (22) , pp. 185–204, 2018, [Online]. Available: https://sid.ir/paper/129861/en

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