[PDF] Top 20 Measuring the risk of an Iranian banking system using Value at Risk (VaR) Model
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Measuring the risk of an Iranian banking system using Value at Risk (VaR) Model
... Measuring risk of financial institutes and banks plays an important role on managing ...States banking system has motivated banking industry to monitor risk factors ... See full document
6
An empirical study on open position risk assessment using VAR and regression analysis: A case study of Iranian banking industry
... Data of research includes the necessary data for fiscal year of 2011 associated with a private bank collected on daily ...by using non-probability targeted sampling method and volume sample ... See full document
6
Return distribution and value at risk estimation for BELEX15
... Value at Risk ( VaR ) is a commonly used statistic for measuring potential risk of economic losses in financial markets [11, 5, 4, ...8]. Using VaR financial institutions ... See full document
16
An application of value at risk and expected shortfall
... losses. The magnitude of these losses prompted questions over whether financial institutions had been holding adequate capital reserves, as calculated using risk measures such as ...then, ... See full document
60
An analytical method of estimating Value-at-Risk on the Belgrade Stock Exchange
... expansion of research into VaR methodology. Although the zone of evaluating and analyzing market risk exposure remained the main field of VaR implementation, applications were ... See full document
20
Credit risk and banking activities
... Credit risk in banking industry is a very important ...degree of reliability, in order to be possible to take the correct decisions regarding client ...loans. The objective of ... See full document
42
Risk Analysis of the Romanian Banking System – an Aggregated Balance Sheet Approach
... requirement of 2,5% capital conservation buffer and also the variable requirement of 2,5% countercyclical buffer of common ...Besides, the ratio between total equity and total assets ... See full document
8
A study on relationship between CAMELS Index's and Risk taking: A case study of Iranian banking industry
... with the business cycle, using 8000 bank-year data from 29 OECD countries over the past ...riskiness of the credit portfolio when the business cycle turns downwards, which also ... See full document
6
An empirical study for measuring the success index of banking industry
... uses the hybrid methods of DEA and BSC (Guo et al., 2006). Examples of this research area include facilities location designing at production systems (Yang & Kuo, 2003; Ertay et ... See full document
12
An Application Relating To Credit Risk and Credit Risk Management in Tu rkish Banking System: The Case of Turkey Garanti Bank
... Within the globalization process of the world, at the competitive area arised as a result of the rapid increase in the number of banks and their branches in ... See full document
25
External Validation of European System for Cardiac Operative Risk Evaluation II (EuroSCORE II) for Risk Prioritization in an Iranian Population
... surgeries at Emam Reza hospital, Northeast Iran from January 1, 2014 to December 31, ...Once the patient was hospitalized a cardiologist or a general physician evaluated pre- peri- and post- operative state ... See full document
7
Liquidity Risk Management in the Portuguese Banking System
... Evolution of Liquidity Management Practices before the Financial Crisis The periods prior to the most severe years of financial distress in Portugal (in this study considered to be from ... See full document
29
Risk of Employing an Evolvable Production System
... Factories of the Future’s Executive Summary, the European Commission believes that the manufacturing sector “is an indispensable element of the innovation chain” ... See full document
111
Value at risk: um conceito em busca de identidade: inovação ou evolução?
... Cada fonte de risco de mercado (i.é, sejam os preços dos instrumentos da posição, sejam os preços dos ativos subjacentes) contribui para a distribuição do valor do portfolio. O contexto [r] ... See full document
69
THE STEERING TOOL OF FINANCIAL INSTITUTIONS: CREDIT VAR (VALUE AT RISK)
... measure the Credit VaR of the credit portfolio selecting the distribution ...quantile. The economic equity (or the economic capital) required to cover these losses will be ... See full document
6
THE CREDIT RISK-COMPONENT OF THE BANKING RISKS
... nerve of the production”. Starting from the theory of the tree factors of ...factors: the land, the work and the credit. But the must important ... See full document
8
The effect of macroeconomic factors on credit risk in the banking system of Iran
... Credit risk in monetary and credit institutions is important because resources used for allocation, in fact, are the monetary debt (lender) to shareholders, the banks and in the case of ... See full document
8
A Partially Reduced Bias Class of Value-at-Risk Estimators
... extreme value index (EVI) class of estimators, a generalization of the classical Hill EVI-estimator, related to the mean-of-order-p of an adequate set of ... See full document
7
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)
... to the bivariate case. The copulas parameters can also be influenced by a Markov chain, as in Jondeau and Rockinger (2006) and Silva Filho et ...were the first ones to introduce time variation in ... See full document
40
Establishing the risk of neonatal mortality using a fuzzy predictive model
... objective of this study was to develop a fuzzy model to estimate the possibility of neonatal ...computing model was built, based on the fuzziness of the following ... See full document
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