پديد آورنده :
عطايي، مريم
عنوان :
ارزش در معرض خطر، مدل سازي GARCH و پيش بيني نوسان شرطي از بازدهي هاي پوشش ريسك سرمايه
مقطع تحصيلي :
كارشناسي ارشد
گرايش تحصيلي :
آمار كاربردي
محل تحصيل :
اصفهان: دانشگاه صنعتي اصفهان، دانشكده علوم رياضي
صفحه شمار :
ده،63ص.: مصور، جدول
يادداشت :
ص.ع.به فارسي و انگليسي
استاد راهنما :
محمدتقي جهانديده،امير نادري
توصيفگر ها :
مديريت ريسك , ابزارهاي مشتقه , مدل سازي گارچ
تاريخ نمايه سازي :
24/8/91
استاد داور :
افشين پرورده، صفيه محمودي
چكيده فارسي :
به فارسي و انگليسي: قابل رويت در نسخه ديجيتالي
چكيده انگليسي :
Value At Risk GARCH Modelling AndThe Forecasting Of Hedge Fund Return Volatility Maryam Ataie Khorasgani m ataiekhorasgani@math iut ac ir 19 09 2012 Department of Mathematical Sciences Isfahan University of Technology Isfahan 84156 83111 Iran Supervisor Dr Mohammad Taghi Jahandideh bomoomi@cc iut ac ir Advisor Dr Amir Naderi romidi@cc iut ac ir 2010 MSC 05C15 53C42 Keywords Hedge Fund Value at Risk GARCH models forecasting Abstract This thesis examines the conditional volatility characteristics of daily management style returnsand compares the out of sample forecasts of di erent Value at Risk VaR approaches namely thenormal Cornish Fisher CF and the so called GARCH type VaR The examination of the condi tional volatility of hedge fund styles and composite returns shows important di erences concerningpersistence mean reversion and asymmetry in the period under consideration Hedge fund returnsexhibit signi cant negative skewness and excess kurtosis which cannot be captured in the normal VaRwhereas the CF VaR results in a systematic downward shift of the conventional VaR The GARCH type VaR however includes the time varying conditional volatility and is able to trace the actualreturn process more e ectively Since the forecast performance cannot detect which of the three VaRtypes can match the time varying risk adequately an adjusted hit ratio takes the size of the hits aswell as the average VaR into account According to this the GARCH type VaR outperforms the otherVaRs for most of the hedge fund style indices Value at Risk VaR is one of the most important concepts widely used for risk management by banksand nancial institutions Since VaR can be easily computed by capturing risk in only one gure it has gained increasing popularity in the past Although there are several forms of nancial risk we focus on market risk in this paper that is the unexpected changes in stock returns Favre and
استاد راهنما :
محمدتقي جهانديده،امير نادري
استاد داور :
افشين پرورده، صفيه محمودي
