Volume 28 (2023)
Volume 27 (2022)
Volume 26 (2021)
Volume 25 (2020)
Volume 24 (2019)
Volume 23 (2018)
Volume 22 (2017)
Volume 21 (2016)
Volume 20 (2015)
Volume 19 (2014)
Volume 18 (2013)
Volume 17 (2012)
Volume 16 (2011)
Volume 15 (2010)
Volume 14 (2010)
Volume 13 (2009)
Volume 12 (2008)
Volume 11 (2008)
Volume 10 (2008)
Volume 9 (2007)
Volume 8 (2006)
Volume 7 (2005)
Volume 6 (2004)
Volume 5 (2003)
Volume 4 (2002)
Volume 3 (2001)
Volume 2 (2000)
Volume 1 (1995)
Calculating Value at Risk: DCC-GARCH-Copula Approach

Reza Taleblou; Mohammad Mahdi Davoudi

Volume 25, Issue 82 , April 2020, , Pages 43-82

https://doi.org/10.22054/ijer.2020.11908

Abstract
  In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used. Different models of multivariate GARCH and various Coppola models have been used in order to estimate the volatility ...  Read More

Extending Basel Regulatory Capital Requirement under Economic Downturns

Amir Azamtarrahian; Saeed Asadi

Volume 23, Issue 76 , October 2018, , Pages 159-184

https://doi.org/10.22054/ijer.2018.9516

Abstract
  This paper studies credit risk management in banking industry and proposes a generic model for corporate loan portfolio loss distribution in economic downturns. Basel assumes a one-factor Gaussian copula for default correlations and introduces the regulatory capital on the ground of Vasicek process that ...  Read More

Calculation of Value at Risk of Currency Portfolio for a Typical Bank by GARCH-EVT-Copula Method

Hossein Raghfar; Narges Ajorlo

Volume 21, Issue 67 , July 2016, , Pages 113-141

https://doi.org/10.22054/ijer.2016.7238

Abstract
  The purpose of this study is to calculate Value at Risk (VaR) of a selection of  bank's currency portfolio, using GARCH-EVT-Copula (GEC) approach. Today's main challenge of a banking system is to calculate and quantify  the risks that the system is encountered. There are numerous approaches ...  Read More

Estimation of the Value of Risky Stocks (Using Conditional Copila-Garch Method)

mirhossein mousavi; Hossein Raghfar; Mansooreh Mohseni

Volume 18, Issue 54 , April 2013, , Pages 119-152

Abstract
  The traditional approaches for estimating VAR assume that the joint distribution is well-known and the most commonly used normality of the joint distribution of the assets return. In reality, the financial asset return distribution has fatter tails than normal distributions. On the other hand, the use ...  Read More