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تخمین ارزش در معرض ریسک بازده بورس اوراق بهادار تهران با استفاده از آنالیز موجک | ||
| تحقیقات مالی | ||
| مقاله 5، دوره 17، شماره 1، فروردین 1394، صفحه 59-82 اصل مقاله (469.98 K) | ||
| نوع مقاله: مقاله علمی پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22059/jfr.2015.52008 | ||
| نویسندگان | ||
| مجتبی رستمی نوروزآباد1؛ عبدالناصر شجاعی* 2؛ محسن خضری3؛ سامان رحمانی نوروزآباد4 | ||
| 1دانشجوی دکتری مدیریت مالی، دانشگاه آزاد اسلامی واحد تهران شمال، تهران، ایران | ||
| 2استادیار گروه اقتصاد، دانشگاه آزاد اسلامی، واحد سنندج، سنندج، ایران | ||
| 3دانشجوی دکتری اقتصاد، دانشگاه تربیت مدرس، تهران، ایران | ||
| 4کارشناس ارشد مدیریت بازرگانی (مالی)، دانشگاه آزاد اسلامی، واحد سنندج، سنندج، ایران | ||
| چکیده | ||
| شرکت‌های مالی همواره در معرض خطرهای ناشی از ریسک قرار دارند. در چند سال گذشته بنا به دلایلی، اندازه‌گیری ارزش در معرض ریسک (VaR)، از اهمیت روزافزونی برای شرکت‌های مالی برخوردار شده است. این پژوهش از بین معیارهای متعدد ریسک، معیار VaR را با رویکرد جدیدی برای محاسبۀ ریسک بازارها ارائه می‌کند. رویکردهای معمول اندازه‌گیری ریسک بهدلیل ماهیت پیچیده، غیرخطی و در حال تغییر ریسک، از قدرت توضیحی ضعیف و عملکرد محدودی برخوردارند. بنابراین پژوهش پیش رو، پارادایم شبهپارامتریکی جدیدی با ترکیب آنالیز موجک و مدل‌های GARCH پیشنهاد کرده است که با استفاده از آنالیز موجک به بررسی خواص چندمقیاسی داده‌ها می‌پردازد. نتایج تجربی حاکی از برتری روش پیشنهادی این مقاله نسبت به رویکردهای سنتی است؛ بهطوری که این روش، تخمین‌هایی با درجۀ اطمینان و صحت بیشتری از ارزش در معرض ریسک را بهدست میدهد. | ||
| کلیدواژه‌ها | ||
| آنالیز موجک؛ ارزش در معرض ریسک؛ بورس اوراق بهادار تهران | ||
| عنوان مقاله [English] | ||
| Estimation of value at risk of return in Tehran Stock Exchange using wavelet analysis | ||
| نویسندگان [English] | ||
| Mojtaba Rostami Noroozabad1؛ Abdonaser Shojaei2؛ Mohsen Khezri3؛ Saman Rahmani Noorozabad4 | ||
| 1Ph.D. Candidate in Financial Management, Member of Young Researchers Clubs and Elite, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran. | ||
| 2Assistant Prof., Economic Department, Islamic Azad University of Sanandaj, Sanandaj, Iran. | ||
| 3Ph.D. Candidate in Economics, Tarbiat Modarres University, Tehran, Iran. | ||
| 4MSc. of Business Administration (Finance), Member of Young Researchers Clubs and Elite, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran. | ||
| چکیده [English] | ||
| Financial companies are constantly exposed to the dangers of risk. In the last few years for various reasons, measuring value at risk (VaR) has become increasingly important for financial firms. The study of multiple measures of risk, VaR measure with a new approach provides the ground for calculation of market risk. Common approaches to risk measurement due to complicated, nonlinear and changing nature of risk have both weak explanatory power and limited functionality. Thus, the current study presents a new semi-parametric paradigm combining wavelet analysis and GARCH models which uses wavelet analysis to deal with properties of multi-scale data. Experimental results show the superiority of the proposed method in this paper compared to traditional approaches, such that this method leads to a higher degree of reliability and accuracy of the estimates of the value at risk. | ||
| کلیدواژه‌ها [English] | ||
| Tehran Stock Exchange, Value at Risk, wavelet analysis | ||
| مراجع | ||
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