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Essays In Market Risk Analysis and Central Bank Policy Evaluation in Tehran Stock Exchange Market

Heidari, Hadi | 2017

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  1. Type of Document: Ph.D. Dissertation
  2. Language: Farsi
  3. Document No: 50425 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Keshavarz Haddad, Gholamreza
  7. Abstract:
  8. This dissertation presents a method for policy Evolution in financial markets and analysis of the performance market risk models. To investigate the effect of economic policy, transaction costs in Tehran Stock Market (TSE) and reaction of a specific bank in the face of an internal policy change has been considered. In the first paper as first chapter of the thesis, we propose a new method for calculating the value at risk of stock prices in presence of price limit set up in the Tehran stock market and comparing its performance with other classical models. Because the results of classical models in VaR do not consider the effect of circuit breakers, the provided methodology and the proposed model in this paper resolves this defect. In the second chapter, by considering new measure to capture traders position in TSE, traditional measurement for assessing the performance of VaR models is generalized. In the third chapter, we have studied the effect of an economic policy that has emerged due to the announcement of the central bank circulate. This paper, by presenting a new market impact measurement and methodology for identification and evaluation, obtains size of circulate issues as a policy event in two periods, before and after the announcement. Finally, in the fourth chapter, in regard to a different methodology in the literature, we analyzed the effect of a policy, i.e. change in the type of collateral in one of the private banks, we evaluate quantitative impact of this policy on credit value of borrowers and loan rationing
  9. Keywords:
  10. Circuit Breakers (CBs) ; Value at Risk ; Tehran Stock Exchange ; Collateral Requirement ; Circult Breakers ; Market Impact ; Collateral Type

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