ESTIMATING PORTFOLIO VALUE-AT-RISK AND EXPECTED SHORTFALL BY POSSIBILITY AND NECESSITY THEORY

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.

EBRAHIMI SEYED BABAK; MOJGAN AGHAEI SHEIKH RAZI; MOHEBBI NEGIN

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

Journal Paper

Paper Information

Journal: FINANCIAL RESEARCH Year:2017 | Volume:19 | Issue:2 Page(s): 193-216

Download Full-Text

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

Persian Verion

View:

1,374

Download:

Cites:

Information Journal Paper

Title

ESTIMATING PORTFOLIO VALUE-AT-RISK AND EXPECTED SHORTFALL BY POSSIBILITY AND NECESSITY THEORY

Author(s)

EBRAHIMI SEYED BABAK | MOJGAN AGHAEI SHEIKH RAZI | MOHEBBI NEGIN | Issue Writer Certificate

Keywords

EXPECTED SHORTFALLQ2

FUZZY RANDOM VARIABLEQ1

POSSIBILITY AND NECESSITY THEORYQ2

UNCERTAINTYQ2

VALUE-AT-RISKQ2

Abstract

One of the main concerns of investors and financial managers is the way of dealing with investment risk; thus identification, calculation and management of risk are important issues in financial fields. So, in this study, the portfolio VALUE-AT-RISK and EXPECTED SHORTFALL are estimated by considering UNCERTAINTY in risk factors. The concept of FUZZY RANDOM VARIABLE, specifically POSSIBILITY AND NECESSITY THEORY, is used to face UNCERTAINTY in financial data. In the following, the terms of fuzzy VALUE-AT-RISK and EXPECTED SHORTFALL introduced with assuming normal and t-student distribution and considering both state of fixed and stochastic for UNCERTAINTY factor. The results indicate that assumptions of t-student distribution and stochastic UNCERTAINTY factor make the estimation of both risk measures to be more conservative.

Cites

No record.

References

No record.

Cite

APA: Copy

EBRAHIMI, SEYED BABAK, MOJGAN, AGHAEI SHEIKH RAZI, & MOHEBBI, NEGIN. (2017). ESTIMATING PORTFOLIO VALUE-AT-RISK AND EXPECTED SHORTFALL BY POSSIBILITY AND NECESSITY THEORY. FINANCIAL RESEARCH, 19(2 ), 193-216. SID. https://sid.ir/paper/91257/en

Vancouver: Copy

EBRAHIMI SEYED BABAK, MOJGAN AGHAEI SHEIKH RAZI, MOHEBBI NEGIN. ESTIMATING PORTFOLIO VALUE-AT-RISK AND EXPECTED SHORTFALL BY POSSIBILITY AND NECESSITY THEORY. FINANCIAL RESEARCH[Internet]. 2017;19(2 ):193-216. Available from: https://sid.ir/paper/91257/en

IEEE: Copy

SEYED BABAK EBRAHIMI, AGHAEI SHEIKH RAZI MOJGAN, and NEGIN MOHEBBI, “ESTIMATING PORTFOLIO VALUE-AT-RISK AND EXPECTED SHORTFALL BY POSSIBILITY AND NECESSITY THEORY,” FINANCIAL RESEARCH, vol. 19, no. 2 , pp. 193–216, 2017, [Online]. Available: https://sid.ir/paper/91257/en

Related Journal Papers