Abstract:
One of the most important methods employed to measure the market risk is value at risk calculation method. In this study, the value at risk of banks listed on the Tehran Stock Exchange and Over-the-counter (OTC) are calculated using parametric model, Monte Carlo simulation, historical simulation and Two-Sided Power (TSP) Distribution. The sample includes all listed banks in Iran. The results showed that the value at risk estimated by TSP and historical models is more accurate than the VaR estimated by Monte Carlo and GARCH models. TSP model and then historical model are more accurate than the other ones. Moreover, GARCH is the least accurate model. So far, no research has been conducted to investigate all four models of value at risk assessment.
Machine summary:
"In this study, the value at risk of banks listed on the Tehran Stock Exchange and Over-the-counter (OTC) are calculated using parametric model, Monte Carlo simulation, historical simulation and Two-Sided Power (TSP) Distribution.
Therefore, the main question of the research is: What is the difference between the market risk position of the banks listed in Tehran Stock Exchange using parametric method and the banks using historical simulation, Monte Carlo simulation, and TSP distribution?
4. Materials and Methods In this research the inferential analysis is used for testing the hypotheses, and the value at risk of banks listed in Tehran Stock Exchange is calculated using parametric model, Monte Carlo simulation, historical simulation, and TSP distribution.
78342 Expected Shortfall (ES Figure 4: Comparison of Normal Distribution and Value at Risk Distribution via GARCH Model The identified amount of VaR in the above feature indicates the maximum loss that might occur in the assets portfolio at a time period of one day at confidence level of 95%.
The value at risk estimated by different models of GARCH, Historical simulation, Monte Carlo simulation, and TSP distribution at different confidence levels are as follows: Table 8: Comparison of Value at Risk Estimated by Four Methods Used in the Research 99.
In this study four methods including Parametric, Historical simulation, Monte Carlo simulation, and TSP distribution were compared for estimation of value at risk."