تخمین ارزش در معرض ریسک بازده بورس اوراق بهادار تهران با استفاده از آنالیز موجک

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 دانشجوی دکتری مدیریت مالی، دانشگاه آزاد اسلامی واحد تهران شمال، تهران، ایران

2 استادیار گروه اقتصاد، دانشگاه آزاد اسلامی، واحد سنندج، سنندج، ایران

3 دانشجوی دکتری اقتصاد، دانشگاه تربیت مدرس، تهران، ایران

4 کارشناس ‎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

موضوعات


عنوان مقاله [English]

Estimation of value at risk of return in Tehran Stock Exchange using wavelet analysis

نویسندگان [English]

  • Mojtaba Rostami Noroozabad 1
  • Abdonaser Shojaei 2
  • Mohsen Khezri 3
  • Saman Rahmani Noorozabad 4
1 Ph.D. Candidate in Financial Management, Member of Young Researchers Clubs and Elite, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran.
2 Assistant Prof., Economic Department, Islamic Azad University of Sanandaj, Sanandaj, Iran.
3 Ph.D. Candidate in Economics, Tarbiat Modarres University, Tehran, Iran.
4 MSc. 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
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