|
|
|
|
|
 |
Search published articles |
 |
|
Showing 82 results for Mohammad
Dr. Mahdi Alimohammadi, Mrs. Rezvan Gharebaghi,
Volume 19, Issue 2 (4-2025)
Abstract
It was proved about 60 years ago that if a continuous random variable X has an increasing failure rate then its order statistics will also be increasing failure rate, and this problem remained unproved for the discrete case until recently a proof method using an integral inequality was provided. In this article, we present a completely different method to solve this problem.
Stu Fatemah Alizadeh, Phd Mohammad Amini, Gholamreza Motashami Borzadaran, Phd Syyed Hashem Tabasi,
Volume 19, Issue 2 (4-2025)
Abstract
Events in one financial institution can affect other institutions. For this reason, systemic risk is of interest to risk analysts, and the most important methods of measuring it are the CoVaR and CoES. If there is a dependence between the returns of two financial institutions, Copula functions can be used to examine the structure of the dependence between them. Since return data are often are unstable over time, ARMA-GARCH time series models can be used to model variability. In this paper, CoVaR is evaluated for four copula functions, and then CoES are estimated based on that in ARMA-GARCH models with GED distributions. Then, these two measures are calculated with the returns of Tejarat and Mellat banks.
|
|
|
|
|
|
|
|
|
|
|
