FEASIBILITY OF USING VALUE AT RISK MODELS IN TEHRAN STOCK EXCHANGE (CASE STUDY: METALLIC MINERALS INDUSTRY)

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GOLARZI GHOLAM HOSEIN; ZAREAI AZIM ALLAH; DELAVARI MARGHZAR LEILA

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Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:4 | Issue:14 Page(s): 0-0

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Title

FEASIBILITY OF USING VALUE AT RISK MODELS IN TEHRAN STOCK EXCHANGE (CASE STUDY: METALLIC MINERALS INDUSTRY)

Author(s)

GOLARZI GHOLAM HOSEIN | ZAREAI AZIM ALLAH | DELAVARI MARGHZAR LEILA | Issue Writer Certificate

Keywords

VALUE AT RISK

RISK MANAGEMENT

RISK METRICS

EXPONENTIALLY WEIGHTED MOVING AVERAGE

KUPIEC TEST

Abstract

The Purpose of investment is efficiency gain but it is need to risk tolerance such are the nature of trade and investment activities. Risk can be controlled and minimized to appropriate RISK MANAGEMENT techniques but cannot be deletion. Nowadays VALUE AT RISK (VaR) is the new science of RISK MANAGEMENT and in recently year criteria of market risk equivalent to VALUE AT RISK. VAR is the statistical scale which calculates the maximum expected disadvantage for keeping an asset, for a specified period of time and with a certain probability.In this research is examined the possibility of using VALUE AT RISK, In order to anticipate and management of investment risk in metallic minerals industry. The VaR is estimated by parametric methods and Index of metallic mineral industry. For this purpose, logarithmic return on the industry index that is considered as basic historical observations is calculated daily for a period of time from 1386 Until Shahrivar of 1391. Forecasting of return volatility is calculated by Simple moving average and exponential moving weighted average method with JP Morgan index (0.94) and smoothing coefficient (0.97) in 95% and 99% confidence level. For examining of accuracy of forecasts by VAR are used KUPIEC TEST failures.The results show the method of weighted exponential moving average with smoothing coefficient (0.97) is better predictor for both of confidence levels. Finally, it can be concluded that market risk of metallic minerals industry is Predictable and Manageable by VAR.

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APA: Copy

GOLARZI, GHOLAM HOSEIN, ZAREAI, AZIM ALLAH, & DELAVARI MARGHZAR, LEILA. (2013). FEASIBILITY OF USING VALUE AT RISK MODELS IN TEHRAN STOCK EXCHANGE (CASE STUDY: METALLIC MINERALS INDUSTRY). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(14), 0-0. SID. https://sid.ir/paper/614511/en

Vancouver: Copy

GOLARZI GHOLAM HOSEIN, ZAREAI AZIM ALLAH, DELAVARI MARGHZAR LEILA. FEASIBILITY OF USING VALUE AT RISK MODELS IN TEHRAN STOCK EXCHANGE (CASE STUDY: METALLIC MINERALS INDUSTRY). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;4(14):0-0. Available from: https://sid.ir/paper/614511/en

IEEE: Copy

GHOLAM HOSEIN GOLARZI, AZIM ALLAH ZAREAI, and LEILA DELAVARI MARGHZAR, “FEASIBILITY OF USING VALUE AT RISK MODELS IN TEHRAN STOCK EXCHANGE (CASE STUDY: METALLIC MINERALS INDUSTRY),” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 14, pp. 0–0, 2013, [Online]. Available: https://sid.ir/paper/614511/en

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