ESTIMATING THE VALUE AT RISK USING EXTREME VALUE THEORY IN TEHRAN STOCK EXCHANGE

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FALLAHPOUR S.; YARAHMADI M.

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:3 | Issue:13 Page(s): 103-121

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Information Journal Paper

Title

ESTIMATING THE VALUE AT RISK USING EXTREME VALUE THEORY IN TEHRAN STOCK EXCHANGE

Author(s)

FALLAHPOUR S. | YARAHMADI M. | Issue Writer Certificate

Keywords

TEHRAN STOCK EXCHANGEQ2

FAT TAILQ2

RISK MANAGEMENTQ2

VALUE AT RISKQ1

PARAMETRIC MODELS APPROACHQ2

NON-PARAMETRIC MODELS APPROACHQ2

Abstract

Generally, "The biggest risk in the capital market or ina portfolio (capital market, Bank ...) occurswhena sudden large change occur towards its unfavorable basket. It's essential for financial RISK MANAGEMENT knowing the probability that such case sareveryrare and estimated its consequences. These values (Extreme Movement) are located at the tail of the distribution function, and therefore they named "Extreme Values".In this study, we followed the distribution of Iran stock Exchange returns (TEDPIX and Industrial Index) in two different time periods. We are testing afat tail in two different time periods. Generalized Extreme Value Theory (GEV) results show there are FAT TAILs in the distribution function of return for both indices and for both periods. Finally, the Back testing results for the VaR calculated with this approach show that the model for 100-daytime horizonhas better performance than the 50- daytime horizon. We use Statistics Lopez tocomparethe performance of these Approach models (GEV); with VaR calculated with model Risk metric models with assuming normal distribution for different confidence levels. We reached to this conclusion that the GEV has better performance, because focuses on tail distribution function more than others approaches.

Cites

References

AN APPRAISAL ON THE PERFORMANCE OF FIGARCH MODELS IN THE ESTIMATION OF VAR: THE CASE STUDY OF TEHRAN STOCK EXCHANGE

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APA: Copy

FALLAHPOUR, S., & YARAHMADI, M.. (2013). ESTIMATING THE VALUE AT RISK USING EXTREME VALUE THEORY IN TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 3(13), 103-121. SID. https://sid.ir/paper/197780/en

Vancouver: Copy

FALLAHPOUR S., YARAHMADI M.. ESTIMATING THE VALUE AT RISK USING EXTREME VALUE THEORY IN TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;3(13):103-121. Available from: https://sid.ir/paper/197780/en

IEEE: Copy

S. FALLAHPOUR, and M. YARAHMADI, “ESTIMATING THE VALUE AT RISK USING EXTREME VALUE THEORY IN TEHRAN STOCK EXCHANGE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 3, no. 13, pp. 103–121, 2013, [Online]. Available: https://sid.ir/paper/197780/en

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