mohammad omidinezhad; Teimour Mohammadi; Mahmood Khataei
Abstract
Based on Basel II Accord, loans paid to individuals and SMEs are included in retail portfolio and banks are permitted to choose standardized approach or internal rating based approach for calculating their credit risk capital requirements. In the case of IRB Implementation, banks should group their retail ...
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Based on Basel II Accord, loans paid to individuals and SMEs are included in retail portfolio and banks are permitted to choose standardized approach or internal rating based approach for calculating their credit risk capital requirements. In the case of IRB Implementation, banks should group their retail loans into homogenous risk pools. Particularly, IRB capital requirement function is related to probability of default (PD) and Loss given default (LGD) for each borrower. Mathematically, capital requirement function is concave in PD for a given LGD and for a widespread interval. As a result of capital requirement function concavity, banks could lower their overall capital requirement through classification of their loans into more homogenous risk pools. In this study, loans paid to individual retail customers of 1343 for one of the private banks during 1391-1392 have been classified into homogenous risk pools by the Classification and Regression Trees (CART) algorithm. As we go from level 0 to level 5 in customers' segmentation scheme, capital required for bank experiences a decline of 0.44%.
Hossein Tavakolian; Ahmadreza Jalali Naeeni
Abstract
Macroeconomic equilibrium depends on both current and future behaviour of the monetary authority. Policymaker can manage economic agents' expectation by determining a specific rule in monetary policy and commit to it. There is a vast literature on central banks incentive in instrument and target choice ...
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Macroeconomic equilibrium depends on both current and future behaviour of the monetary authority. Policymaker can manage economic agents' expectation by determining a specific rule in monetary policy and commit to it. There is a vast literature on central banks incentive in instrument and target choice in monetary economics. According to this literature, this paper studies discretionary and Ramsey optimal monetary policies for Iran in a small open economy dynamic stochastic general equilibrium model which is modified to capture the properties of the economy of Iran. The empirical results show that if there is a commitment to targets, monetary authority can control inflation. However, if the authority implements discretionary monetary policy, despite having two policy instruments of monetary base growth rate and nominal exchange rate depreciation, central bank could not manage expectations and would face inflation bias and higher volatilities.
Reza Taleblou; mohammad mahdi davoudi
Abstract
In recent years, by using extreme value theory (EVT), researchers have estimated the market risk for rare events (crises) more accurately. This paper examines the different methods of measuring market risk at different levels of reliability. According to the assumptions of the EVT methods, measuring ...
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In recent years, by using extreme value theory (EVT), researchers have estimated the market risk for rare events (crises) more accurately. This paper examines the different methods of measuring market risk at different levels of reliability. According to the assumptions of the EVT methods, measuring the effects of the financial crises on the value of assets requires a lot of time-series observations. Therefore, this paper has used four indices: total index, industry index, the first market index and the second market index of the Tehran stock exchange. The backtesting results showed that among the various methods, semi-parametric approach or the EVT approach in comparison with parametric (EWMA, MA, GARCH) and nonparametric approaches (Historical simulation) is more efficient and has a higher level of reliability. Also HS method shows acceptable results at high confidence level, while in calculating the value at risk in the 0.90 and 0.95 confidence levels, parametric methods (EWMA, MA, GARCH) provide more reliable results. Also the richness of the dynamics of GARCH and EWMA models are much more than the other models. In the next step by incorporating various models, the three models EWMA-EVT, GARCH-EVT and AWHS were made. Backtesting these three patterns showed that, AWHS and EWMA-EVT have provided the best results among various patterns, and have provided acceptable adequacy in estimating the value at risk at all levels of reliability. However; GARCH-EVT model shows acceptable results only in 0.999 reliability level.
Mehdi Yazdani; Ali Esmaeili
Abstract
Financial crises have been frequently occurred in the global economy, and due to the negative impacts of financial crises on the real sectors performances, the economists tried to predict them. This study tries to investigate the role of the trade flows on occurrence of these phenomena and also the effects ...
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Financial crises have been frequently occurred in the global economy, and due to the negative impacts of financial crises on the real sectors performances, the economists tried to predict them. This study tries to investigate the role of the trade flows on occurrence of these phenomena and also the effects of contagion on trade flows. Hence, a sample of the emerging markets countries is selected during 1990-2013, and the simultaneous equations method has been used with discrete dependent variable (contagion of financial crises) in panel data. The results show that the trade flows lead to the acceleration of the contagion of the financial crises and on the other hand, the trade flows has been decreased by financial crises in the selected emerging markets countries. Finally, similar to the probability for contagion of the financial crises, more financial and regional linkages can increase the trade flows among selected countries.
Madjid Hatefi Madjumerd; gholamreza zamanian; Mohammad Nabi Shahiki Tash
Abstract
The present study aims to interpret equity premium puzzle based on the bubble risk approach in Iran’s securities market for the period 1996:09-2016:10. To this end, discovery of bubbles, estimation of the Epstein-Zin Preferences function, and interpretation of equity premium are examined. After ...
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The present study aims to interpret equity premium puzzle based on the bubble risk approach in Iran’s securities market for the period 1996:09-2016:10. To this end, discovery of bubbles, estimation of the Epstein-Zin Preferences function, and interpretation of equity premium are examined. After that, RTADF tests are used to discover bubbles and date their stamping. Research results indicate that the securities market has experienced six bubble periods and has not had bubble in 65 percent of the period. In addition, the Epstein- Zin Preferences function of this study is estimated using GMM method. In this stage, estimation of elasticity of intertemporal substitution parameter is very important since it is expected that the risk of bubble is used to describe a part of stock market’s risk. Results of the study indicate that market bubbles have boosted risk factors in the securities market. In addition, economic factors in the securities market of Iran are substantially risk averse. Findings show that based on the traditional approach, a comprehensive interpretation of equity premium puzzle could not be presented; while the new approach can ascertain 90 percent of equity premium.
javad ramezani; Yahya Kamyabi
Abstract
Successful investment requires identifying influential investment factors, its related risks and allocating optimal resources to obtain the highest returns. Individuals and institutional investors employ strategies to obtain additional return. One of these strategies is to determine the factors affecting ...
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Successful investment requires identifying influential investment factors, its related risks and allocating optimal resources to obtain the highest returns. Individuals and institutional investors employ strategies to obtain additional return. One of these strategies is to determine the factors affecting risk and return in investment processes. This paper aims at examining the explanatory power of stock returns through the six-factor model and comparing Fama–French five-factor model, Carhart four-factor and Hou, Xue, Zhang (HXZ) q-factor models to determine the expected return on stocks of listed companies in Tehran Stock Exchange. Monthly data from the listed companies from 2002 to 2016 reveals that Fama–French five-factor model can explain stock returns better than Carhart four-factor model and HXZ six subscales. More importantly, adding momentum to the five-factor model did not increase the explanatory power. Also, the study showed that there were not significant results regarding Fama-french five-factor model of the value factor (HML) in Tehran Stock Exchange. Therefore, adding two factors of investment and profitability increases the explanatory power of the model.
