Sharif Digital Repository

Futures exchanges require a margin requirement that ensures their competitiveness and protects against default risk. The purpose of a margin requirement is to protect a clearinghouse from members’ defaults resulting from big losses due to adverse movement of futures prices. Extreme movements are central to the margin setting problem, because only a large price variation may cause brokers to incur losses. So in this study according to recent default in gold futures in Iran Mercantile Exchange we apply extreme value theory for computing unconditional and conditional optimal margin levels based on Block-Maxima and Peak over threshold approaches.The results show that at very high confidence... 

In this study, by performing a series of experiments, the effect of the presence of cylinders on the formation of vortices and the interaction of cylinders on each other and, finally, transverse propagation in a steady flow are investigated. The cylinder cylinders that are in the direction of the motion of the water, have a significant effect on the hydrodynamic aspects and propagation in these streams. In the pattern of flow around cylindrical cylinders, with increasing Reynolds number, the vortex behind the stem begins to oscillate and when they reach, vortices flow into the stream. The flow velocity field, the formation and vortex fluctuation, affects the process of particle propagation... 

This research solves a Location-Routing model based on the data of Tejarat bank branches in Tehran. The goal of the model is to minimize the cost of building & operating bank treasuries, optimize the cost of money transferring to branches of the bank & reduce the stealing risk. Because of the wide range of definitions for risk, time parameter is used as risk factor for its importance in bank money car stealing. Non-dominated Sorting Genetic Algorithm which is a common algorithm in multi-objective optimization literature with big data, is used to solve the proposed model