MEASUREMENT THE ASSET RISK FOR FINANCIAL COMPANIES, BY USING THE VALUE AT RISK METHOD

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PEYKARJOU KAMBIZ; SHAHRIAR BEHNAM; NOOROLLAHI NIMA

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Journal: ECONOMIC RESEARCH REVIEW Year:2009 | Volume:- | Issue:5 (SUPPLEMENT) Page(s): 195-221

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Title

MEASUREMENT THE ASSET RISK FOR FINANCIAL COMPANIES, BY USING THE VALUE AT RISK METHOD

Author(s)

PEYKARJOU KAMBIZ | SHAHRIAR BEHNAM | NOOROLLAHI NIMA | Issue Writer Certificate

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Abstract

In the new financial theories, undesirable risks are more important than desirable risks, because these events ruin companies (and destruct their capital).According to these theories, one method of risk measurement is Value at Risk (VaR).In general, the importance of VaR method is to determine the Economic Capital of financial companies for their financial activities. In this paper, we initially define the VaR method and, consequently, calculate it by using parametric methods such as simple variance-covariance and variance-covariance based on ARCH and GARCH models. In fact, the principle aim of this paper is introducing the VaR as a suitable method to calculate asset risk (this risk is one part of the economic capital in financial firms).

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APA: Copy

PEYKARJOU, KAMBIZ, SHAHRIAR, BEHNAM, & NOOROLLAHI, NIMA. (2009). MEASUREMENT THE ASSET RISK FOR FINANCIAL COMPANIES, BY USING THE VALUE AT RISK METHOD. ECONOMIC RESEARCH REVIEW, -(5 (SUPPLEMENT)), 195-221. SID. https://sid.ir/paper/67000/en

Vancouver: Copy

PEYKARJOU KAMBIZ, SHAHRIAR BEHNAM, NOOROLLAHI NIMA. MEASUREMENT THE ASSET RISK FOR FINANCIAL COMPANIES, BY USING THE VALUE AT RISK METHOD. ECONOMIC RESEARCH REVIEW[Internet]. 2009;-(5 (SUPPLEMENT)):195-221. Available from: https://sid.ir/paper/67000/en

IEEE: Copy

KAMBIZ PEYKARJOU, BEHNAM SHAHRIAR, and NIMA NOOROLLAHI, “MEASUREMENT THE ASSET RISK FOR FINANCIAL COMPANIES, BY USING THE VALUE AT RISK METHOD,” ECONOMIC RESEARCH REVIEW, vol. -, no. 5 (SUPPLEMENT), pp. 195–221, 2009, [Online]. Available: https://sid.ir/paper/67000/en

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