جستجوی مقالات مرتبط با کلیدواژه "portfolio risk" در نشریات گروه "مالی"

In this research, the GARCH-EVT-COPULA method is investigated to determine the dependency structure and portfolio risk estimation on the foreign exchange market data in Iran. GARCH-EVT models are used to mariginal distribution of each of four currency returns series. For the joint model, we choose five copuls with different dependence structure such as Frank, Clayton, Gumble, Normal and t-Student copulas. In this research portfolio risk is measured using VaR and CVaR. The statistical sample of this study is the daily exchange rate of USD,EURO, Pound and AED for the free market with 5 working days from September to the end of 1396. Based on the results of the research, using the Akaike information criterion values, the t-student function is the best fitted copula model for investigating the dependency structure. Exchange rates have the same upper and lower tail dependencies. Accordingly, in the markets for boom (severe positive) and stagnation (severe negative), the dependence between the two exchange rates is the same.

Capital is one of the fundamental factors in assessing the health and stability of the banking system. On the other hands, the value of the banks’ capital has a significant effect on their competitive position. Therefore, the utility and appropriateness of the capital base is as safe cover against a wide range of banking risks. The purpose of this study was to determine the effect of Buffer capital changes on the risk changes of banks’ portfolios. This research has been collected in term of applied methodology and accomplished transaction data in the period of five years from 2011 to 2015. The statistical   population of the study consisted of 17 with systematic elimination sampling from Stock Exchange organization. For analyzing the data, Linear Regression and Correlation tests were used Eviewse software. The research results show, changes in Buffer capital have a significant effect on portfolio risk changes and given the negative coefficient of the variable of the Buffer capital changes, there is an inverse relationship between Buffer capital changes and portfolio risk changes. Also, Buffer capital changes in interaction with the business cycle, income diversification and asset fluctuation affects banks’ portfolio risk changes.

Present research was accomplished to survey the relationship between Severity of personality phases of mutual fund managers and the risk measure of mutual funds. The research hypothesizes are that the intensity of individual phases of managers and their portfolio risk are related. And also the personality types (A & B) can have a moderating effect on the relationship. The sample size in this study consisted of 98 Person of investment fund managers. The methodology of this study was to evaluate the correlation between structural modeling with using the smart PLS software.
The results indicated that there are significant relations between 5 personality Phases (Depression, Hypomania, Psychopathic Deviate, Psychasthenia, Paranoia) and fund risk measures including Value at Risk & Semi Variance. Also it was shown that personality type of investment fund managers is moderating effect on these relations.