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

Mahdi Salehi () and Mohammad Zamani ()
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Mahdi Salehi : Ferdowsi University of Mashhad
Mohammad Zamani : Department of Accounting, College of Management Economics and Accounting, Tabriz Branch, Islamic Azad University

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) 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.

Keywords: Market risk; Value at risk; GARCH model; Monte Carlo method; Historical simulation; TSP method (search for similar items in EconPapers)
JEL-codes: E5 E58 J21 (search for similar items in EconPapers)
Date: 2014
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