PORTFOLIO RISK MANAGEMENT BASED ON REVISED VAR MODELS

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RAHNAMAY ROODPOSHTI F.; MOLLAEI M.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:3 | Issue:13 Page(s): 123-152

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Information Journal Paper

Title

PORTFOLIO RISK MANAGEMENT BASED ON REVISED VAR MODELS

Author(s)

RAHNAMAY ROODPOSHTI F. | MOLLAEI M. | Issue Writer Certificate

Keywords

VARQ2

RISK MANAGEMENTQ2

CORNISH FISHERQ2

EXPANSIONQ2

ELLIPTICAL-T-STUDENTQ2

Abstract

Value at Risk (VAR) RISK MANAGEMENT concept is a very useful technique for analyzers to manage the risk. But considering that, this model cannot estimate the complete risk of the tails, so there are a lot practices to develop better models to cover this shortage. In this study we try to review the shortages of this model and to amend and modify it by using two concepts "Cornish Fisher EXPANSION" and "Elliptical t-student distribution" to have a better estimation of the mentioned risk. In this study we introduce two new models that are solved by SA algorithm. The efficiency of such models is shown by efficient frontiers. The findings show considerable improvement of using these two models

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مدیریت ریسک: ابعاد مدیریت ریسک، تعریف و کاربرد آن در سازمان های مالی

Cite

APA: Copy

RAHNAMAY ROODPOSHTI, F., & MOLLAEI, M.. (2013). PORTFOLIO RISK MANAGEMENT BASED ON REVISED VAR MODELS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 3(13), 123-152. SID. https://sid.ir/paper/197773/en

Vancouver: Copy

RAHNAMAY ROODPOSHTI F., MOLLAEI M.. PORTFOLIO RISK MANAGEMENT BASED ON REVISED VAR MODELS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;3(13):123-152. Available from: https://sid.ir/paper/197773/en

IEEE: Copy

F. RAHNAMAY ROODPOSHTI, and M. MOLLAEI, “PORTFOLIO RISK MANAGEMENT BASED ON REVISED VAR MODELS,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 3, no. 13, pp. 123–152, 2013, [Online]. Available: https://sid.ir/paper/197773/en

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