EXPLANING THE FOUR-STEP PROCESS FOR CALCULATING VALUE-AT-RISK AS A RISK CRITERION FOR MEASURING RISK AND IT'S APPLICATION IN PORTFOLIO OPTIMIZATION

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SAJADI Z.; FATHI S.

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2014 | Volume:6 | Issue:20 Page(s): 1-13

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Title

EXPLANING THE FOUR-STEP PROCESS FOR CALCULATING VALUE-AT-RISK AS A RISK CRITERION FOR MEASURING RISK AND IT'S APPLICATION IN PORTFOLIO OPTIMIZATION

Author(s)

SAJADI Z. | FATHI S. | Issue Writer Certificate

Keywords

RISK‎Q2

‎VALUE-AT-RISK‎Q2

‎FOUR-STEP PROCESS FOR CALCULATING VAR‎Q3

‎PORTFOLIOQ2

Abstract

Value-at-risk is an important criterion for measuring risk in the financial markets that states market risk in a number‎. ‎There are some methods to calculate this criterion‎, ‎such as parametric methods‎, ‎historical simulation and monte carlo simulation that are expressed in the most contexts related to financial mathematics and financial engineering‎. ‎But all these methods of calculation follow the four-step process that are rarely seen in these contexts‎. ‎The complexity of the case in the financial modelings‎, ‎using these calculation methods is not efficient enough‎, ‎because of this‎, ‎using these methods need to consider the series of assumptions such as considering the specific distribution of the probability distribution of return on assets or a linear relation between risk factors and market value of assets and other assumptions‎. ‎Therefore‎, ‎this study in addition to describe the process of calculating value at RISK‎, how to implement it on an optimization model of investment‎, ‎considering the constraint on the value at RISK‎, ‎without considering the specific assumption is expressed.

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APA: Copy

SAJADI, Z., & FATHI, S.. (2014). EXPLANING THE FOUR-STEP PROCESS FOR CALCULATING VALUE-AT-RISK AS A RISK CRITERION FOR MEASURING RISK AND IT'S APPLICATION IN PORTFOLIO OPTIMIZATION. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 6(20), 1-13. SID. https://sid.ir/paper/200064/en

Vancouver: Copy

SAJADI Z., FATHI S.. EXPLANING THE FOUR-STEP PROCESS FOR CALCULATING VALUE-AT-RISK AS A RISK CRITERION FOR MEASURING RISK AND IT'S APPLICATION IN PORTFOLIO OPTIMIZATION. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2014;6(20):1-13. Available from: https://sid.ir/paper/200064/en

IEEE: Copy

Z. SAJADI, and S. FATHI, “EXPLANING THE FOUR-STEP PROCESS FOR CALCULATING VALUE-AT-RISK AS A RISK CRITERION FOR MEASURING RISK AND IT'S APPLICATION IN PORTFOLIO OPTIMIZATION,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 6, no. 20, pp. 1–13, 2014, [Online]. Available: https://sid.ir/paper/200064/en

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