Market Risk Recognition by Different Models in Listed Banks of Tehran Stock Exchange and OTC

Mahdi Salehi and Mohamad Zamani
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Mahdi Salehi: Ferdowsi University of Mashhad
Mohamad Zamani: Islamic Azad University, Tabriz Branch

Journal of Money and Economy, 2014, vol. 9, issue 1, 147-176

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)

Keywords: Market risk; Value at risk; GARCH model; Monte Carlo method; Historical simulation; TSP method (search for similar items in EconPapers)
Date: 2014
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