VAR AND ES CALCULATION BASED ON THE EXTREME VALUE THEORY (BLOCK MAXIMA AND GPD): EVIDENCE FROM TEHRAN STOCK EXCHANGE (TSE)

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

KASHI MANSOUR; HOSSEINI SEYED HASSAN; GHALILIOU MOHAMMAD MOUSA; GOLKARIAN ARANI SAEED

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:2017 | Volume:8 | Issue:32 Page(s): 269-294

Download Full-Text

Persian Verion

View:

1,038

Download:

Cites:

Information Journal Paper

Title

VAR AND ES CALCULATION BASED ON THE EXTREME VALUE THEORY (BLOCK MAXIMA AND GPD): EVIDENCE FROM TEHRAN STOCK EXCHANGE (TSE)

Author(s)

KASHI MANSOUR | HOSSEINI SEYED HASSAN | GHALILIOU MOHAMMAD MOUSA | GOLKARIAN ARANI SAEED | Issue Writer Certificate

Keywords

EXTREME VALUE THEORYQ1

VALUE AT RISKQ1

EXPECTED SHORTFALLQ1

GENERALIZED PARETO DISTRIBUTIONQ1

Abstract

Current study, has explores the VAR and ES in the Tehran Stock Exchange (TSE) by using the EXTREME VALUE THEORY (block maxima and GPD). Earlier estimates of the preliminary findings of the analysis that uses statistics, Empirical Distribution Function, Mean Excess Function and QQ plot, Pareto and heavy-tailed behavior were found data. To estimate the optimal threshold value, we have Mean Excess Function and hill plot applied. To estimate the optimal threshold value, Mean Excess Function and Hill plot use the statistics mentioned for the positive and negative returns, the threshold value for GPD models are about. /75 And. /60 have provided. Comparing the estimated residual value model classic extreme (monthly, quarterly, six month and one year) and the GPD, concluded the optimal performance GPD calculated on the value of extreme block which is highly sensitive to the choice of the period. Finally, to estimate VAR and ES, we GPD model demonstrated that a better performance was applied. The results showed that VAR and ES should not be the dominant financial risk management. In other words, dependence on individual risk scale for ignoring the problem will create portfolio risk information. So to contain the missing information by VAR and ES, it is essential that the various aspects of the distribution of losses / profits look like heavy-tailed.

Cites

No record.

References

No record.

Cite

APA: Copy

KASHI, MANSOUR, HOSSEINI, SEYED HASSAN, GHALILIOU, MOHAMMAD MOUSA, & GOLKARIAN ARANI, SAEED. (2017). VAR AND ES CALCULATION BASED ON THE EXTREME VALUE THEORY (BLOCK MAXIMA AND GPD): EVIDENCE FROM TEHRAN STOCK EXCHANGE (TSE). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 8(32 ), 269-294. SID. https://sid.ir/paper/197846/en

Vancouver: Copy

KASHI MANSOUR, HOSSEINI SEYED HASSAN, GHALILIOU MOHAMMAD MOUSA, GOLKARIAN ARANI SAEED. VAR AND ES CALCULATION BASED ON THE EXTREME VALUE THEORY (BLOCK MAXIMA AND GPD): EVIDENCE FROM TEHRAN STOCK EXCHANGE (TSE). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2017;8(32 ):269-294. Available from: https://sid.ir/paper/197846/en

IEEE: Copy

MANSOUR KASHI, SEYED HASSAN HOSSEINI, MOHAMMAD MOUSA GHALILIOU, and SAEED GOLKARIAN ARANI, “VAR AND ES CALCULATION BASED ON THE EXTREME VALUE THEORY (BLOCK MAXIMA AND GPD): EVIDENCE FROM TEHRAN STOCK EXCHANGE (TSE),” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 8, no. 32 , pp. 269–294, 2017, [Online]. Available: https://sid.ir/paper/197846/en

Related Journal Papers