Hossein Raghfar; Narges Ajorlo
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 ...
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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 to calculate the risks. Usually these approaches assume a common known distribution for the assets portfolio and generally a normal distribution is utilized for the experimental models. Nevertheless, the distributions of the assets are fat-tailed distribution and consequently normal distribution assumption may lead to inaccurate estimation. This article does not assume a specific asset distribution. This study applies autoregressive threshold variances (GJR-GARCH) for intertemporal individual's asset variable returns distribution. It also utilizes extreme value theory or the fat-tailed distributions and Coppola functions for all asset returns in an asset portfolio. In this study VaR is estimated using variance-covariance and historical simulation methods. Finally, in order to test the reliability of the applied models Kopic method is used. The sample data of the bank's currency portfolio consists of the market daily figures of the US Dollar, Japan's Yen, Turkish Lire, Emirate Dirham, Korean Won, and Euro exchange rates from March 21, 2007 till April 19, 2012. The results showed that the estimated VaR using GEC model is higher than the one estimated using the other two methods. They also show that reliability and precision of Kopic test is higher than those of variance-covariance and historical simulation models.
Hossein Raghfar; MirHossein Mousavi; Batool Azari Beni
Abstract
Education is one of the most determinants of consumer welfare. There are, however, many differences in educational achievements among individuals. The aim of this paper is to study the generational impact of education on urban households’ consumer welfare in Iran. To do this, we construct a pseudo-panel ...
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Education is one of the most determinants of consumer welfare. There are, however, many differences in educational achievements among individuals. The aim of this paper is to study the generational impact of education on urban households’ consumer welfare in Iran. To do this, we construct a pseudo-panel data set of individual households from the urban areas for the period 1369-1390. In this way, the performance of cohorts over time is observed. The results show that greater access to education is associated with more consumer welfare.
