استفاده از ارزش در معرض ريسك در داده هاي مالي, By Mohammad Esmail Dehghan Monfared

Research

Title	Using Value at Risk in financial Data
Type	Thesis
Keywords	ارزش در معرض ريسك، مديريت ريسك، سبد سرمايه كارا، منحني هاي تراز ارزش در معرض ريسك، برآوردهاي هسته اي، چندكها
Researchers	Fatemeh Afshar Panah (Student) , Mohammad Esmail Dehghan Monfared (Primary advisor) , Mahmoud Afshari (Advisor)

Abstract

In this thesis, the value at risk is introduced and analyzed for financial data especially the sensitivity of VAR with respect to portfolio allocation is analyzed. Analytical expressions for the first and second derivative of the VAR are derived and it is explained how they can be used to simplify statistical inference and to perform a logical analysis of the VAR. An empirical illustration of such an analysis is given for the portfolio of French stocks and another portfolio which contains gold coin and dollars in Iran's Market