List of Articles Value at risk

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  1 - Assessment and Presentation of a Proper Paradigm to Identify, Measure, and Control Financial Risks in Financial and Credit Institutions (Case Study of Mellat Bank)
  M. Taghavi M. Khodaei Valahzaghard
• Open Access Article
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  2 - Estimating Portfolio Market Risk Based on Value at Risk (VaR)
  M. Khalili Araghi S. Hashemi
• Open Access Article
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  3 - Portfolio Optimization Based on Cross Efficiencies By Linear Model of Conditional Value at Risk Minimization
  K. Yakideh M.H . Gholizadeh M. Kazmi
• Open Access Article
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  4 - Three steps method for portfolio optimization by using Conditional Value at Risk measure
  S. Navidi sh. Banihashemi M. Sanei
• Open Access Article
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  5 - Survey on the Fisibility of Substitution Catastrophe Securitization and Current Reinsurance in Iranian Insurance Industry
  Kambiz Peykarjou hanieh davodi
• Open Access Article
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  6 - Estimating Conditional VaR Using Symmetric and Non-Symmetric Autoregressive Models in Old and Oil Markets
  Saeid Fallahpour Fatemeh Rezvani Mohammadreza Rahimi
• Open Access Article
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  7 - A framework for measuring and predicting system risk with the conditional value at risk approach
  Ja'far Baba Jani M. Taghi Taghavi Fard Amin Ghazali
• Open Access Article
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  8 - Estimating the Investment Risk in a Digital Currency Portfolio and Optimizing it Using Value at Risk
  Ahmad Aghamohammadi Fereydoon Ohadi Mohsen Seighaly Bahman Banimahd
• Open Access Article
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  9 - Fuzzy Mean-CVaR Portfolio Selection Based on Credibility Theory
  S. Babak Ebrahimi Amirsina Jirofti Matin Abdi
• Open Access Article
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  10 - Risk Measurement in Value at Risk (VaR): Application of Levy GARCH models (Study of Chemical industries in Tehran Stock Exchange)
  hossein amiri mahmood najafi nezhad mohammad sayadi
• Open Access Article
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  11 - Portfolio optimization with differential evolution and conditional value at risk approach
  Shahin Ramtinnia Romina Atrchi
• Open Access Article
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  12 - The impact of structural dependence on the efficient frontier of portfolio changes and comparison with traditional methods in Tehran Stock Exchange (Copula functions)
  Mehdi Salehi Samaneh Zamani Moghaddam
• Open Access Article
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  13 - Investigating different methods of estimating tail risk measures with generalized Pareto distribution in Tehran stock exchange
  Eisa Mahmoudi Najme Dehqani Hojjatollah Sadeqi
• Open Access Article
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  14 - Deviation from normal distribution and its impact on the differential value at risk
  Hojatollah Sadeghi Samaneh Dehghan Menshadi
• Open Access Article
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  15 - Risk Analysis & Financial Evaluation in Power Plant BOT
  Faramarz Nouri Parastoo Mohammadi Esmaeil Vassaf
• Open Access Article
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  16 - Using intelligent methods in Solving Constrained Portfolio in Tehran Stock Exchange
  Esmat Jamshidi Eyni Hamid Khaloozadeh
• Open Access Article
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  17 - Using intelligent methods in Solving Constrained Portfolio in Tehran Stock Exchange
  Esmat Jamshdi Eyni Hamid Khaloozadeh
• Open Access Article
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  18 - Comparing the Frechet Distribution and the Generalized Pareto Distribution in Estimating Value at Risk and Conditional Value at Risk in Tehran Stock Exchange
  Azadeh Meharani Ali Najafi moghadam Ali Baghani
• Open Access Article
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  19 - Ranking of exchange-traded funds (ETF) And value at risk approach (EVT) based on value-generating theory (VaR) risk approach
  Gholamreza Zomorodian Maryam Sohrabi
• Open Access Article
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  20 - Comparative Analysis of Stock Portfolio Optimization in Fireworks and Genetic Algorithms Using Conditional Value at Risk
  Ali Asghar Shahriari saeed Daei-Karimzadeh Reza Behmanesh
  10.30495/jfksa.2021.19255
• Open Access Article
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  21 - Presenting of nonlinear hybrid model based on Extreme Value Theory for forecasting the Conditional Value at Risk (CVaR)
  Ehsan Mohammadian Amiri Ehan Atefi Seyed Babak Ebrahimi
• Open Access Article
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  22 - Assessing the Efficiency of the Value-at-Risk Index (VAR) using Extreme Value Theory in comparison with traditional risk assessment methods
  Mehrdokht Mozaffari Hashem Nikoomaram
• Open Access Article
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  23 - Financial Risk Modeling with Markova Chain
  Fraydoon Rahnamay Roodposhti Hamid Vaezi Ashtiani Bahman Esmaeili
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  24 - A Evaluation Power of Value at Risk (VaR) model and Fama & French 3-Factor Estimation model Selecting Optimazed Portfolio of Stock in Stocks Market of Tehran in Year 2001-2008
  دکتر قدرت اله طالب نیا فاطمه احمدی نظام آبادی
• Open Access Article
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  25 - Robust Portfolio Optimization with risk measure CVAR under MGH distribution in DEA models
  Morteza Robatjazi Shokoofeh Banihashemi Navideh Modarresi
• Open Access Article
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  26 - Analysis of financial risk in the cryptocurrency market: Evidence from predicting value at risk
  Zahra Bozorgtabar Baei Reza Aghajan Nashtaei Mohammad Hasan Gholizadeh
• Open Access Article
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  27 - Evaluation of multivariate GARCH models in estimating the Values at Risk (VaR) of currency, stock and gold markets
  abdollah rajabi khanghah Hashem Nikoomaram Mehdi Taghavi Mirfeiz Fallah Shams
• Open Access Article
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  28 - Effect of asset-liability management on credit risk
  hadi farnian Fraydoon Rahnamay Roodposhti taghi torabi
• Open Access Article
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  29 - Model for Calculating the Deposit Guarantee Fund’s Special Membership Fee Based on Risk
  mehran aarabi ghasem aarabi ali saghafi jafar babajani
• Open Access Article
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  30 - Performance Assessment of a Mutual Fund Using Fractional Modeling and the Concept of Value at Risk
  Mahmoudreza Khajehnasiri Hamidreza Vakilifard
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  31 - Systemic risk assessment models: a better approach in Iranian financial institutions
  majid noroozi Hamid Reza Kordlouei Reza gholamijamkarani hossein Jahangirnia
• Open Access Article
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  32 - Relationship between risk and risk - aversion utility Based on Multi-Period prospect theory
  RAZIEH Ahmadi Adel Azar gholam reza zomorodianS
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  33 - Structural Equations Approach in Analyzing the Relationship Between Corporate Governance and Value at Risk with Emphasizing on the Role of Risk Management and Intellectual Capital
  mohammad zamani Yadollah Noorifard Ghodratollah Emamverdi mohsen hamidian Seyede Mahboobeh Jafari
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  34 - Portfolio VaR Modelling using EVT-Pair-Copulas Approach
  Ali Souri Saeed Falahpor Ali Foroush Bastani Ehsan Ahmadi
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  35 - Investment Portfolio Optimization of Insurance Companies with Copulas and Extreme Value Approach
  arash goodarzi reza Tehrani Ali souri
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  36 - Application of Copula and Simulated Returns in the Portfolio Optimization with Conditional Value-at-Risk (CVaR) in Tehran Stock Exchange (TSE)
  Esmaeil Lalegani Mostafa Zehtabian
• Open Access Article
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  37 - Investigating the relationship between personality phases of mutual fund managers and fund risk measures: considering the moderating effect of personality types
  Hosein Didehkhani Amir reza Mehralizadeh
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  38 - An Investigation of methods to reduce transaction costs in Tehran Stock Exchange
  Romina Atrchi Shahin Ramtinnia
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  39 - Algorithmic Trading System for future contract of gold coin based on intra-day data
  Mohammad Ali Rastegar Amin Sedaghatipour
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  40 - Dependence structure between Iranian financial system’s sub sectors: a vine copula approach
  Soheil Khalili Reza Tehrani
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  41 - Financial risk assessment based on Extreme Value Theory and instantaneous data of Tehran Stock Exchange Index
  Mehrdokht Mozaffari Hashem Nikoomaram
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  42 - Examining and Comparing Security of Investment in the Stock, Gold, Exchange and Housing Market of Iran using Value at Risk (VaR) Criteria
  Gholam Reza Zomorodian Mahdi Shabanzadeh. Valiollah . Faryadras
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  43 - Selection of optimal portfolio by using improved Non-Dominated Sorting Genetic Algorithm and Evolutionary Algorithm Strength Pareto By taking risk on the basis of conditional value at risk
  Mojtaba Moradi Maryam Ghavidel
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  44 - Rating parametric and nonparametric methods for estimating the expected shortfall and value at risk
  Mohammadreza Rostami Alireza Saranj Zoha Savari
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  45 - Estimation of Value at Risk by using Extreme Value Theory
  Rasoul Sajjad Shohreh Hedayati Sharareh Hedayati
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  46 - The Revised Sharp Method Examination Based on Value at Risk for Evaluation of Tehran Stock Exchange Companies
  S. Reza Mirghaffari
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  47 - Application of Extreme Value Theory in Value at Risk forecasting
  Hosein Falahtalab Mohammadreza Azizi
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  48 - Estimating Conditional Value at Risk (CVaR) with consideration the robust of the measure based on robust Cipra method
  Ehsan Mohammadian Amiri Ehsan Mohammadian Amiri Seyed Babak Ebrahimi
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  49 - The ranking of Exchange-Trade Funds (ETFs); Applying the parametric value at risk approach
  Gholamreza Zomorodian Fraydoon Rahnamay Roodposhti Maryam Borzabadi Farahani
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  50 - Investigation of capabilities of econometrist models in determination of value at risk in investment companies for determination of optimized portfolio in capital market of Iran
  Hashem Nikoomaram Gholamreza Zomorodian
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  51 - Comparing Between Multivariate Volatility Models in Estimation of Exchange Rate and Stock Index Relationship
  Hosein Abbasinejad Shapour Mohammadi Sajad Ebrahimi
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  52 - Multivariate GARCH models". Journal of business and economic statistic Value at Risk and Spillover effect estimate using MGARCH
  Mohammadreza Rostami Sahar Farahmand
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  53 - Expression and design a model to forecast the exchange rate shocks and stress testing of the currency in Iran
  Abdollah Rajabi Khanghah Hashem Nikomaram Mehdi Taghavi Fereydoon Rahnamay Roodposhti Mirfiyaz Fallah Shams
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  54 - تاثیر شاخص متا مالمکوئیست روی بهینه سازی سبد دارایی
  زهره طائب شکوفه بنی هاشمی
  10.30495/ijim.2022.61818.1532
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  55 - Estimation of portfolio efficient frontier by different measures of risk via ‎DEA
  M. Sanei S. ‎Banihashemi‎ M. ‎Kaveh‎
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  56 - Using MODEA and MODM with Different Risk Measures for Portfolio Optimization
  Sarah Navidi Mohsen Rostamy-Malkhalifeh Shokoofeh Banihashemi
  10.22034/amfa.2019.1864620.1200
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  57 - Portfolio Optimization Based on Semi Variance and Another Perspective of Value at Risk Using NSGA II, MOACO, and MOABC Algorithms
  Reza Aghamohammadi Reza Tehrani Abbas Raad
  10.22034/amfa.2020.1907264.1479
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  58 - Forecasting Daily Volatility and Value at Risk with High Frequency Data
  Amir Mohammad Zadeh Sahar Masoud Zadegan
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  59 - The impact of diversification on risk reduction: using a mix of Merton model and random matrix approach to take into account non-stationary
  Zahra Eskandari Mirfeiz Fallah Shams Gholamreza Zomorodian
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  60 - The Estimation of Systematic Risk in Iranian Financial Sectors (ΔCoVaR Approach)
  samad hekmati farid Ali Rezazadeh ali malek
• Open Access Article
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  61 - Forecasting Future Trends of the Stock Market Using the Probit Regression Approach with Emphasis on Value at Risk
  Seyed Ali Mousavi Loleti Emran Mohammadi Saeed Shavvalpour
  10.71848/jcma.2024.997392
• Open Access Article
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  62 - Fuzzy Portfolio Optimization Using Credibility Theory: Multi-Objective Evolutionary Optimization Algorithms
  MariehAlsadat MirAboalhassani Farzad Movahedi Sobhani Emran Mohammadi
  10.30495/fomj.2022.1949727.1054
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  63 - Dynamic GAS Mathematical Based Modeling for Predicting and Assessing the Memory Free Value at Risk of Tehran Stock Exchange Total Index
  Mohammad Ebrahim Samavi Hashem Nikoomaram Mahdi Madanchi zaj Ahmad Yaghobnezhad
• Open Access Article
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  64 - Designing and explaining the dynamic model of comprehensive risk transfer of cryptocurrency in the financial markets of the world
  Reza Karimi Mirfeiz Falahshams Shadi Shahverdiani Gholamreza zomorodian
  10.30495/ecomag.2023.1979337.1057
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  65 - Analyzing and measuring the systemic risk between cryptocurrencies and real currencies using the value-at-risk and the marginal expected shortfall
  Zohre Rahimi Gholamreza Zomorodian Azita Jahanshad Mehdi Madanchizaj
• Open Access Article
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  66 - Examining the Efficiency Models, Genetic Algorithm under MSV Risk and Particle Swarm Optimization Algorithm under CVAR Risk Criterion in Selection Optimal Portfolio Shares Listed Firms on Stock Exchange
  Dariush Adinevand Ebrahim Ali Razini Mahmoud Khodam Fereydoun Ohadi Elham Elsadat Hashemizadeh
  10.30495/fed.2023.707996
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  67 - Value at Risk Assessment in Tehran Stock Exchange using Non-parametric and parametric Approaches
  ebrahim ghanbari memeshi seyed ali nabavi chashmi erfan memarian
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  68 - Assessing the Transparency of Selected Private Banks' Information Based on Risk Criteria (Value At Risk)
  Hossein Abdo Tabrizi reza tehrani Ghodratolla Imam Verdi Saeed Fallahpour Ali Baghani
  10.30495/faar.2022.697084
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  69 - Stock portfolio optimization using Imperialist Competitive Algorithm (ICA) and Particle Swarm Optimization (PSO) under Conditional Value at Risk (CVaR)
  Arezou Karimi sara goodarzi dahrizi
• Open Access Article
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  70 - Multivariate Portfolio Optimization under Illiquid Market Prospects
  Nastaran Sarvipour fatemeh samadi
• Open Access Article
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  71 - Dependence structure and portfolio risk in Iran exchange market by using GARCH-EVT-Copula method
  Farhad Ghaffari sahar fathi
• Open Access Article
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  72 - Presenting the combined algorithm of machine learning and the combination of risk metrics and fuzzy theory in choosing an investment portfolio
  danial mohammadi Seyed jafar Sajadi Emran Mohammadi naeim shokri
• Open Access Article
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  73 - Value Risk Assessment of Stock Indexes Based on Parametric, Quasi-Parametric and Nonparametric Approaches (Tehran Stock Exchange Study)
  ebrahim ghanbari memeshi seyyed ali nabavi chashmi erfan memarian
• Open Access Article
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  74 - Stock Portfolio Optimization with MAD and CVaR Criteria by Comparing Classical and Metaheuristic Methods
  Mohammad reza Haddadi Younes Nademi Fateme Tafi
• Open Access Article
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  75 - Structural Equation Model Approach in Analyzing the Relationship Between Company Financial status and Value at Risk with Emphasis on The Role of Risk Management
  Mohammad zamani Ghodratollah Emamverdi Yadollah Noorifard mohsen hamidian Seyedeh Mahboubeh Jafari
• Open Access Article
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  76 - The assessment of extreme value theory and Copula - Garch models in prediction of value at risk and the expected short fall in portfolio Investment Company in Tehran stock exchange.
  ali alizadeh Mirfeiz Fallah
• Open Access Article
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  77 - Designing a Risk Assessment Model and determining an Optimal Currency Portfolio for banks by Value-at-risk (VaR) criterion and exponentially weighted moving average (EWMA)
  Gholamreza Bayati Mohammad Ebrahim mohammadPourzarandi
• Open Access Article
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  78 - Stock portfolio optimization using multi-objective genetic algorithm (NSGA II) and maximum Sharp ratio
  Arezou Karimi
• Open Access Article
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  79 - Estimation value at risk (VAR) and conditional value at risk (CoVaR) at Tehran Stock Exchange by approach to using Fréchet distribution (FD)
  Azadeh Meharani Ali Najafi moghadam Ali baghani
• Open Access Article
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  80 - The pervasive risk of the financial crisis in the Iranian banking system with the ARFIMA-FIGARCH-Delta CoVaR approach and the expected marginal Shortfall
  leila barati mirfeiz falahshams farhad ghafari Alireza Heidarzadehhanzaee
• Open Access Article
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  81 - Dynamic GAS Based Modeling for Predicting and Assessing the Value at Risk of Bitcoin and Gold
  Mohammad Ebrahim Samavi Hashem Nikoomaram Mahdi Madanchi Zaj Ahmad Yaghobnezhad
• Open Access Article
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  82 - Examining the Efficiency Models, Conditional Value at Risk and Mean Absolute Deviation and Particle Swarm Optimization Algorithm under CVAR and MAD risk criterion in Selection Optimal Portfolio Shares Listed Firms on Stock Exchange
  dariuosh adinehvand Ebrahim ali Razini Rahmani Mahmod khoddam Fereydon Ohadi alhamsadat hashemizadeh
• Open Access Article
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  83 - Multi-Asset Portfolio Optimization based on Conditional Value at Risk using Artificial Bee Colony Algorithm
  Somayeh Mousavi Abbasali Jafari-Nodoushan Marzieh Kazemi-Rashnani Mahsa Mohammadtaheri
• Open Access Article
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  84 - Long Memory usage in Portfolio Optimization using the Copula‌ Functions: Empirical evidence of Iran and Turkey Stock Markets
  Hasti Chitsazan Motahareh Moghadasi Reza Tehrani Mohsen Mehrara
• Open Access Article
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  85 - Tail Risk Analysis Using realized measure and Dynamic Asymmetric Laplace Models in Tehran Stock Exchange
  esmail mohammadi salari Mohammad Reza Rostami Reza Gholami Jamkarani Mojganm safa
• Open Access Article
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  86 - Portfolio optimization based on parametric and nonparametric period value at risk
  Mohamad ali tabibi sayyed mohammad reza davoodi abdolmajid abdolbaghy ataabady
• Open Access Article
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  87 - Introducing new risk measure Glue VaR and its estimation using composite quantile regression model
  Ali Aghamohammadi Mahdi Sojoudi Meysam Sojoudi mohammad Javad Tavoosi
• Open Access Article
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  88 - VaR modeling and back testing of short and long positions according to in Sample and out of Sample: application of family models Fractionally Integrated GARCH
  Mansour Kashi S. Hassan Hosseyni A. Sadat niyazkhani S. Amin Abdollahi
• Open Access Article
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  89 - Measuring portfolio Value at Risk: The application of copula approach
  Esmaeil Pishbahar sahar abedi
• Open Access Article
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  90 - Investment portfolio optimization using value at risk under credibility theory with Z-numbers approach
  Amirsina Jirofti Amirabbas Najafi
• Open Access Article
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  91 - Forecasting Volatility & Risk Management in Tehran Stock Exchange through Long memory impacts
  ehsan Taiebysani Madihe Changi Ashtiani
• Open Access Article
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  92 - Statistical ranking of different VaR and ES models by using Model Confidence Set approach for the banking industry: With an emphasis on Conditional Extreme Value Theory
  Alireza Saranj marziyeh nourahmadi
• Open Access Article
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  93 - Developing a Fuzzy Multibjective Model for Multiperiod Portfolio Optimazation Considering Average Value at Risk
  Amir Shiri Ghehi Hosein Didehkhani kaveh Khalili Damghani parviz Saeedi
• Open Access Article
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  94 - Optimizing Portfolio through Extreme Value Theory in Tehran Stock Exchange
  Afsaneh Sina Mirfeiz Fallahshams
• Open Access Article
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  95 - Investigating the Value at Risk of Gold Coin Future Market through Wavelet Analysis Approach
  Mohammad Hamed Khan Mohammadi mehrnoosh ebrahimi
• Open Access Article
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  96 - Proposition of a model For Forecasting Value at Risk in One Step Ahead
  ehsan Mohammadian Amiri S. Babak Ebrahimi maryam Nezhad Afrasiabi
• Open Access Article
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  97 - Futures Contracts Margin Setting by CVaR Approach Based on Extreme Value Theory
  mirFeyz Fallahshams ali Saghafi alireza naserpoor
• Open Access Article
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  98 - Selection of the optimal method in calculating the value at risk of investment fund
  Ali Najafi moghadam
• Open Access Article
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  99 - The evaluation of Systemic Risk in the Iran Banking System by Delta Conditional Value at Risk ( CoVaR) Criterion
  asadollah farzinvash naser elahi javad gilanipour Ghadir Mahdavi
• Open Access Article
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  100 - VAR and ES calculation based on the Extreme Value Theory (block maxima and GPD): Evidence from Tehran Stock Exchange (TSE)
  Mansour Kashi S. Hassan Hoseini mohammad Mousa Ghaliliou saeed Golkarian Arani
• Open Access Article
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  101 - Measurement conditional value at risk based on FIGARCH-EVT method at Tehran stock Exchange
  mohammadreza Lotfalipour Mahdiyeh Nosrati abolfazl Ghadiri Moghaddam Mahdi Filsaraei
• Open Access Article
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  102 - Estimation of Value at Risk with Extreme Value Theory approach and using Stochastic Differential Equation
  Amir Shafiee reza raei Hossein Abdoh Tabrizi saeed falahpor
• Open Access Article
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  103 - Estimation Value at Risk using by combining approach Exteme Value Theory and CIPRA at Tehran stock Exchange
  Ehsan Atefi Meysam Rashidi Ranjbar
• Open Access Article
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  104 - Determine the optimal portfolio weights var-stock approach And compare it with the Markowitz model
  sayyedmohammadmahdi ahmadi hasan lotfi vali rajabi
• Open Access Article
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  105 - Dynamic GAS Based Modeling for Predicting and Assessing the Value at Risk of Tehran Stock Exchange Index and Bitcoin
  Mohammad Ebrahim Samavi Hashem Nikoomaram Mahdi Madanchi Zaj Ahmad Yaghoobnezhad
  10.30495/afi.2022.1956046.1119
• Open Access Article
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  106 - Examining the efficiency of optimization models of multi objective genetic algorithm and particle swarm algorithm under the risk criteria of conditional value at risk and mean smai variance in determining the optimal stock portfolio
  Dariush Adinehvand Ebrahim Ali Razini Rahmani Mahmoud Khoddam Fereydoun Ohadi Elham Sadat Hashemizadeh
  10.30495/afi.2023.1988982.1233
• Open Access Article
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  107 - The use of support vector machine and Naive Bayes algorithms and its combination with risk measure and fuzzy theory in the selection of stock portfolio
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