Estimating Conditional Value at Risk (CVaR) with consideration the robust of the measure based on robust Cipra method

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.

MOHAMMADIAN AMIRI EHSAN; alikarami mona; EBRAHIMI SEYED BABAK

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

Journal Paper

Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:8 | Issue:30 Page(s): 173-189

Download Full-Text

Persian Verion

View:

361

Download:

Cites:

Information Journal Paper

Title

Estimating Conditional Value at Risk (CVaR) with consideration the robust of the measure based on robust Cipra method

Author(s)

MOHAMMADIAN AMIRI EHSAN | alikarami mona | EBRAHIMI SEYED BABAK | Issue Writer Certificate

Keywords

Value at RiskQ1

Conditional Value at RiskQ1

Robust Cipra methodQ1

GARCH FamilyQ1

Abstract

Since the atmosphere of financial markets is uncertain and ambiguous, Conditional Value at Risk measurement has been of great importance in recent years for financial companies and micro and macro investors. In this paper, we estimate the CVaR of the Tehran Stock Exchange Index for distribution of the Trial Student at confidence levels of 95% and 99% based on the Cipra method, which is proposed as a new approach for the estimation of the CVaR. In order to evaluate the performance of this approach, the comparison between the said approach and the conventional methods of GARCH, EGARCH and TGARCH was performed using four backtesting of unconditional coverage test, conditional coverage test, joint test and Lopez loss function test. The results show that Robust Cipra method has a better and more reliable performance than the other methods in estimating the CVaR.

Cites

No record.

References

No record.

Cite

APA: Copy

MOHAMMADIAN AMIRI, EHSAN, alikarami, mona, & EBRAHIMI, SEYED BABAK. (2019). Estimating Conditional Value at Risk (CVaR) with consideration the robust of the measure based on robust Cipra method. INVESTMENT KNOWLEDGE, 8(30 ), 173-189. SID. https://sid.ir/paper/402470/en

Vancouver: Copy

MOHAMMADIAN AMIRI EHSAN, alikarami mona, EBRAHIMI SEYED BABAK. Estimating Conditional Value at Risk (CVaR) with consideration the robust of the measure based on robust Cipra method. INVESTMENT KNOWLEDGE[Internet]. 2019;8(30 ):173-189. Available from: https://sid.ir/paper/402470/en

IEEE: Copy

EHSAN MOHAMMADIAN AMIRI, mona alikarami, and SEYED BABAK EBRAHIMI, “Estimating Conditional Value at Risk (CVaR) with consideration the robust of the measure based on robust Cipra method,” INVESTMENT KNOWLEDGE, vol. 8, no. 30 , pp. 173–189, 2019, [Online]. Available: https://sid.ir/paper/402470/en

Related Journal Papers