محاسبۀ ریسک رویدادی (مطالعۀ موردی: بورس اوراق بهادار تهران)

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 دانشیار اقتصاد، دانشگاه رایس، هاستون، ایالات متحدۀ آمریکا

2 دانشجوی دکتری علوم اقتصادی، دانشگاه شهید بهشتی، تهران، ایران

چکیده

این مقاله به اندازه‎گیری ریسک رویدادی می‎پردازد که توسط کمیتۀ بازل معرفی‎شده و آثار ناشی از خبرهای ناگهانی را اندازه می‎گیرد. داده‎های این پژوهش بر اساس آمار روزانۀ ارزش بازاری هشتاد شرکت ثبت‎شده در بازار بورس اوراق بهادار تهران طی دورۀ زمانی 1388-1373 گردآوری شده است. در پژوهش حاضر پس از دسته‎بندی شرکت‎ها به سه گروه سبد بزرگ، متوسط و کوچک، به تجزیه‎وتحلیل و محاسبۀ ریسک رویدادی پرداخته شده است. در پژوهش پیش رو، برای نخستین‎بار در ایران الگویی از خانوادۀ الگوهای GARCH و گاوسی معکوس (IG) و توزیع پواسن برای الگوسازی ورود خبرهای ناگهانی به بازار ‌استفاده ‌شده است. یافته‌های این پژوهش حکایت از اهمیت ریسک رویدادی به‌منزلۀ جزء مهمی از ریسک کل دارد. نتایج نشان داد ریسک رویدادی محاسبه‌شده برای سبد متوسط 5 درصد و برای سبد بزرگ 2 درصد است.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Measuring event risk

نویسندگان [English]

  • Mohammad Ali Kafaiee 1
  • Hadi Rahmani fazli 2
1 Associate Prof in Economic, Rice Univercity, Houston, United Sate of America
2 Ph.D. Student in Economic, Shahid Beheshti University, Tehran, Iran
چکیده [English]

This paper measures event risk which is introducing by the ball committee to measure the effect of sudden news. This study calculates event risk by using the data of registered firms in Tehran stock market between 1993 and 1994. For computing event risk, we use daily market capitalization for 80 firms during 1993-2009, then dividing these firms to three baskets; big, medium and small.
The Model comes from the family of GARCH models and inverse Gaussian (IG) that is obtained from combination of GARJI distribution and normal distribution. Poisson distribution used for modeling of sudden news entry to the market.
The conclusions show the importance of event risk as an important component of total risk. we computes Event risk for the medium basket about 5 percent and for the big basket about 2 percent.

کلیدواژه‌ها [English]

  • "Event risk"
  • "Jumps"
  • "NIG distribution"
  • "Value at risk"
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