COMPARISON OF PARAMETRIC (APPLIDE ECONOMETRIC) AND NONPARAMMETRIC (MONTE CARLO) IN MEASURING THE AMOUNT OF VALUE AT RISKE (VAR) IN THE PORTFOLIO OF INVESTMENT COMPANIESD FOR DETERMINING THE OPTIMUM IN CAPITAL MARKET OF IRAN

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ZOMORODIAN GHOLAMREZA

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Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:6 | Issue:22 Page(s): 147-164

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Title

COMPARISON OF PARAMETRIC (APPLIDE ECONOMETRIC) AND NONPARAMMETRIC (MONTE CARLO) IN MEASURING THE AMOUNT OF VALUE AT RISKE (VAR) IN THE PORTFOLIO OF INVESTMENT COMPANIESD FOR DETERMINING THE OPTIMUM IN CAPITAL MARKET OF IRAN

Author(s)

ZOMORODIAN GHOLAMREZA | Issue Writer Certificate

Keywords

RISKQ2

RETURNQ2

PORTFOLIOQ2

INVESTMENT COMPANIESQ2

PARAMETHRIC AND NONPARAMETRIC METHRIC METHODQ2

Abstract

For any investment decision in the economy, we should Compar the benefit of the decision with the RISK of loss in a exact and sharp welght, in order to get the correct decision. For calculation the exact RETURN esecialy, the investment RISK, different models has emerged for prcdicting the RISK. The purpose of the models are to Calculate the amount of RISK with regard to the need of model and deviation af data. In this research we are going to discuss the amount of value at RISK of 12 INVESTMENT COMPANIES, with two methods (paramethric) and nonparmetric. Then two methods parametric (Applide Econometric) and nonparametric (Monte Carlo). Then we will introduce the optimum method with the lops test.

Cites

LIQUIDITY-ADJUSTED INTRADAY VALUE AT RISK MODELING AND RISK MANAGEMENT: BY USING VECTOR AUTO REGRESSION (VAR)

References

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APA: Copy

ZOMORODIAN, GHOLAMREZA. (2015). COMPARISON OF PARAMETRIC (APPLIDE ECONOMETRIC) AND NONPARAMMETRIC (MONTE CARLO) IN MEASURING THE AMOUNT OF VALUE AT RISKE (VAR) IN THE PORTFOLIO OF INVESTMENT COMPANIESD FOR DETERMINING THE OPTIMUM IN CAPITAL MARKET OF IRAN. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 6(22), 147-164. SID. https://sid.ir/paper/197602/en

Vancouver: Copy

ZOMORODIAN GHOLAMREZA. COMPARISON OF PARAMETRIC (APPLIDE ECONOMETRIC) AND NONPARAMMETRIC (MONTE CARLO) IN MEASURING THE AMOUNT OF VALUE AT RISKE (VAR) IN THE PORTFOLIO OF INVESTMENT COMPANIESD FOR DETERMINING THE OPTIMUM IN CAPITAL MARKET OF IRAN. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;6(22):147-164. Available from: https://sid.ir/paper/197602/en

IEEE: Copy

GHOLAMREZA ZOMORODIAN, “COMPARISON OF PARAMETRIC (APPLIDE ECONOMETRIC) AND NONPARAMMETRIC (MONTE CARLO) IN MEASURING THE AMOUNT OF VALUE AT RISKE (VAR) IN THE PORTFOLIO OF INVESTMENT COMPANIESD FOR DETERMINING THE OPTIMUM IN CAPITAL MARKET OF IRAN,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 6, no. 22, pp. 147–164, 2015, [Online]. Available: https://sid.ir/paper/197602/en

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