Sharif Digital Repository

In the present research, the weak level efficiency of securitise market is reviewed and examined .Therefore the “Random Walk Hypothesis” has been examined on the time series of daily efficiency index of TEHRAN SECURITISE MARKET. The main difference between this research and the previous researches which have been performed previously in Iran, is the method of Hypothesis Test. The” Variance Ratio Test” has been used as a method of Hypothesis’ Test. In the second chapter, the theoretical and experimental literatures of this research has been described in detail. In parallel with the ” Variance Ratio Test”, the impact of the Day of week and the “HETROSCEDASITY TEST” also has been... 

Risk management is one of the most important topics in banking. Risk management in banking is divided to several categories including credit risk. Credit risk is also divided to individual credit risk and portfolio credit risk. In Iran many of banks have worked on individual credit risk models, but few of them have worked on portfolio models because these models have developed only in recent years. In our project we present three categories of credit risk models and then analyze the data of a private bank in Iran with CreditPortfolioView model. In CreditPortfolioView model, macroeconomic parameters are used to analyze the correlated behavior of individuals as a benchmark in different... 

Project Finance is a novel approach in financing big projects. High debt ratio, independency to promoter credit and establishing a special purpose company, are some of project finance characteristics that could be very beneficial in some projects. Liquid Natural Gas (LNG) is a solution for exporting natural gas to far destination. As economical and environmental benefits of using natural gas have been increased in recent years, LNG industry has been experienced rapid growth. In this project we analyze project finance and then describe economical motivation of using this method in LNG industry of Iran.

 

Volatility is the most important components in numerous finance applications. So, the methods of volatility forecast with reasonable accuracy require a deep attention.In this thesis with considering several distributions for error term, GARCH forecasting performance is evaluated on the intra- day data of "Foolad" stock returns by two loss functions of "MAE" and "HMAE". This evaluation is done in three forecast horizons, 1 day, 5 days and 20 days. Finally, the result of this study is as follows. GARCH (1, 1) forecast model with skewed t- student error distribution has the minimum value in the both loss functions for 1 day and 5 day forecast horizons. Also GARCH (1, 1) forecast model with t-... 

Credit risk is one important type of various types of financial risks that banks and financial institutions are exposed to it. Therefore credit risk management for banks and other financial institutions that finance corporations and individuals, has special importance. To make decision about financing clients of the bank and managing credit risk, it is essential to measure credit risk of these clients. In recent decades there are many efforts to measure credit risk and therefore various models have been created for assessing it. In this research, we study the effects of Macroeconomic, firm specific and latent variables on clients default risk, in the context of reduced-form models. The... 

Credit scoring is a mechanism used to quantify the risk factors relevant for an obligor’s ability and willingness to pay. Credit scoring has become the norm in modern banking, due to the large number of applications received on a daily basis and the increased regulatory requirements for banks. The meaning of credit scoring is to assign scores to the characteristics of debt and borrowers, historical default, and other loss experienced as an indication of the risk level of the borrower. The aim of the credit score model is to build a single aggregate risk indicator for a set of risk factors.
In this study, current method in which Maskan bank will give a loan is explained. We developed a... 

In this thesis, we study the dependence structure between the Tehran Stock Exchange and over-the-counter market, as the two main Iranian capital market institutions. Several constant and time-varying conditional Copula functions are used to model this dependence structure from October 2009 to August 2014. It is shown that, compared to constant conditional copulas, time-varying conditional copulas, provide a better performance. Analyzing the conditional tail dependence of these indices shows an asymmetric dependence structure. Also, investigating the dynamic conditional correlation and conditional tail dependence, using time-varying conditional copulas, reveals large variations and an... 

This thesis proposes two methods for backtesting VaR models. The first is the combination of saddlepoint technique with Berkowitz backtesting and the second is based on maximum loss which uses Fischer-Tippet theorem to backtest VaR models. Monte Carlo simulation studies show that the power of these new backtests, especially the latter which is easy to use, is not less than complex Backtests that are well-known for their accuracy  

Behavioral finance researchers have introduced behavioral biases, derived from psychology, to financial models in order to make them more realistic and to increase their explanatory power.One of the best known of these biases, considered in behavioral finance literature, is overconfidence, which means investors overestimate their own knowledge and ability to evaluate securities. Several theoretical models have studied the effects of this bias on financial markets and many empirical models have examined their assumptions, looking for whether investors are overconfident or not. Explained by these models, price overreaction to private information arrival and underreaction to public signal, is... 

The present study investigated day of the week effect on stock market returns and the stock market returns and volatility relationship in Tehran Stock Exchange. In this part two regression models is been used and theory that effect of days are meaningful on return and also the theory of meaningfulness and being equal of relation between return and volatility in different days of the week has been examined on index return of all market and on industry indexes in separately. Therefore we have utilized information from time series of total index week days categorized into 8 industries during 2008-2013. The results obtained on weekdays effect on the index of the first model and second model... 

Many studies point to a possible new stylized fact for financial time series: the multifractality. Several authors have already detected this characteristic in multiple time series in several countries. With that in mind and based on Multifractal Detrended Fluctuation Analysis (MFDFA) method, this thesis analyzes the multifractality in the Tehran Stock Exchange. This analysis is performed with daily data from Tepix index (Tehran stock exchange's main index) and other three highly marketable stocks in the Tehran Stock Exchange (Pharma index, Oil index and Metal index), wich making up 1782 observations for each index in the period from March 21, 2011 to Aug 22, 2018. We found that the studied... 

In this thesis, we uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for five stocks of Tehran Stock Exchange. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional value-at-risk (Min-CVaR) and certainty equivalence tangency (CET) criteria, and model the dependence structure between stock market returns by employing elliptical (Student-t and Gaussian) and Archimedean (Clayton) copulas. We analyze the performances of 42 risk modeling portfolio strategies using out-of-sample back-testing. Our main finding is that the Min-CVaR portfolio, based on ARMA-GARCH-EVT-Clayton forecasts,... 

The Contagion of markets to each other, due to their role in the occurrence of financial crises and the transmission of shocks, is an important topic in the financial literature. In this dissertation, we study this issue by examining the number of positive and negative co-exeedances in the oil market and Tehran Stock Exchange. The data examined are the daily time series of Tehran Stock Market Index and Oil Prices (WTI) in the period of 2009 to 2019.First of all we find the time cut-off rate of the daily returns of the stock indexes of different industries and of oil prices, using the generalized Pareto distribution (GPD). Then we count the number of days when the returns have negative or... 

Credit risk is one of the most important sources of risk that banks and other similar financial institutions have to face with. So academics and practitioners were always interested in appropriate models that can analyze this risk. Reduced form models are newer models than structural models that have more real assumption and are rich in modeling default. In this research we study the effect of macroeconomic and firm-specific variables on probability of default in the reduced form framework. Our results show that inflation, stock market return, leverage ratio, asset turnover, loan age, and default history are significant variables.
JEL classification: G33; C41; G21
 

Since the seminal work of Modigliani and Miller, the basic question of whether a unique combination of debt and equity capital maximizes the firm value, and if so, what factors could influence a firm’s optimal capital structure have been the subject of frequent debate in the capital structure literature. Empirical work in this area has lagged behind the theoretical research, perhaps because the relevant firm attributes are expressed in terms of fairly abstract concepts that are not directly observable and furthermore capital structure decision-making is even more complicated when it is examined in an international context, particularly in developing countries where markets are characterized... 

During the last years, a more volatile and dynamic financial environment has caused an increasing concern about the stability of banking systems. In this sense, it is widely agreed that credit risk is one of the variables that are more directly related to financial stability. One of the most important purposes of modeling credit risk, is estimating credit loss distribution and forecasting expected loss. In this research, we estimate and analysis credit loss by considering macroeconomic variables and latent factors. We express loans losses in terms of four stochastic components: default frequencies, the size of the loans portfolio, the exposures at default and the losses given default. ... 

In contrast to the Modigliani and Millers’s theory which states that dividends do not affect the return of the companies, many of findings illustrate the importance of dividends for the stockholders. This is the subject of the present research which is run by the statictic test and the Fama & French three factor model in two regular and modified versions based on the data which is driven from the Iran’s stock market. What is seen is that the return of the stock for the companies which make dividends is more than the companies which do not pay dividends for their stockholders. In addition, the results show that the return of the companies which offers dividend to their stockholders is more... 

Exchange rate is one of the key variables which affect different sectors of the economy. Volatile exchange rate causes uncertainty for investors, and inappropriate allocation of resources. Consequently, the high volatility of exchange rate should be considered for investment risk assessment. Base metals industry is one of the main industries in Iran which is largely affected by exchange rate volatility. In this thesis first we model the exchange rate volatility by an ARJI model. Then we use the estimated volatility in a GARCH model to derive the volatility and to estimate the VaR of base metals Index. We backtest the estimated VaR, and compare it with the VaR calculated by GARCH without... 

As we know the return of some financial assets has a different distribution from the normal. Given that in the traditional methods of evaluating the mutual funds’ performance such as mean-variance (MV) and models based-on capital assets pricing model (CAPM), returns of financial assets distributions have been assumed normal, using mentioned methods is invalid. In this study, we have used some traditional methods such as the Sharpe benchmark, treanor benchmark and Jensen’s alpha and have pointed out some problems in using them as an instance case. Stochastic dominance criteria which do not require the assumption of normal distribution of return and also have less restrictive assumptions were... 

This thesis has two section. In the first section, this thesis studies the dynamic behavior of daily oil prices and finds strong evidence of GARCH as well as conditional jump behavior. This implies that conditional heter oscedasticity is present and the empirical distribution of oil price changes has heavy tails. Thus, the oil price consider ably sensitive to news and does not settle around along-run trend.In the second section This thesis investigates the out-of-sample value-at-risk (VaR) forecasts in gulf cooperation council stock markets by considering both oil volatilities and the developed GARCH model construction. The em-pirical results indicate that the Oil GARCH model with...