DESIGNING A NEW MODEL FOR VALUATION OF FINANCIAL CONTRACTS BASED ON THE INVESTMENT RISK ASSESSMENT

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MAHMOUDIAZAR KEIVAN; KIMIAGARI ALIMOHAMMAD

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

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Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2017 | Volume:4 | Issue:4 (15) Page(s): 29-44

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Title

DESIGNING A NEW MODEL FOR VALUATION OF FINANCIAL CONTRACTS BASED ON THE INVESTMENT RISK ASSESSMENT

Author(s)

MAHMOUDIAZAR KEIVAN | KIMIAGARI ALIMOHAMMAD | Issue Writer Certificate

Keywords

INVESTMENTQ2

RISKQ2

CONDITIONAL VALUE AT RISKQ1

GUARANTEED RATEQ1

PARTICIPATION RATEQ1

Abstract

In this research, a new model for valuation of financial contracts is designed by using guaranteed and PARTICIPATION RATEs. In the traditional methods, valuation of these contracts is determined with the use of minimum GUARANTEED RATE of returns such as RISK free rate. However, the proposed model is based on the valuation of these contracts by guaranteed and PARTICIPATION RATEs as well as the customer's RISK tolerance and INVESTMENT RISK. In this model, first an asset allocation model is considered in order to model market elements such as certificate of deposit, bonds and stocks. Then, conditional value at RISK, as a proper RISK measure, is used to determine guaranteed and PARTICIPATION RATEs and fair valuation of the contracts. To improve the validity, the model is run for both the capital markets of Iran and the United States of America. The variables used in this study are interest rate of banks, bonds and stock index from 1998 to 2012 in Iran and from 1980 to 2012 in America.

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APA: Copy

MAHMOUDIAZAR, KEIVAN, & KIMIAGARI, ALIMOHAMMAD. (2017). DESIGNING A NEW MODEL FOR VALUATION OF FINANCIAL CONTRACTS BASED ON THE INVESTMENT RISK ASSESSMENT. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 4(4 (15) ), 29-44. SID. https://sid.ir/paper/245702/en

Vancouver: Copy

MAHMOUDIAZAR KEIVAN, KIMIAGARI ALIMOHAMMAD. DESIGNING A NEW MODEL FOR VALUATION OF FINANCIAL CONTRACTS BASED ON THE INVESTMENT RISK ASSESSMENT. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2017;4(4 (15) ):29-44. Available from: https://sid.ir/paper/245702/en

IEEE: Copy

KEIVAN MAHMOUDIAZAR, and ALIMOHAMMAD KIMIAGARI, “DESIGNING A NEW MODEL FOR VALUATION OF FINANCIAL CONTRACTS BASED ON THE INVESTMENT RISK ASSESSMENT,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 4, no. 4 (15) , pp. 29–44, 2017, [Online]. Available: https://sid.ir/paper/245702/en

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