Value at Risk with Indexing Approach for Definning Assets Relation in a Portfolio

Zahra Asadi¹ Pejman Mehran²

1) Department of Industrial Engineering and Systems Management, University of Amirkabir, Tehran, Iran-
2) Department of Industrial Engineering and Systems Management, University of Amirkabir, Tehran, Iran-

IOI Code : XYCF-ADHKG
Publication : 2nd.International Congress on Management, Economy, Humanities and Business Development(icmba.ir)
Abstract :
    Equity markets are heavily affected by unpredictable factors of highly volatile financial markets environment. An investor needs to know and predict these factors and use them for making better decisions. An efficient value at risk system allows investors to manage their portfolio assets with precise evaluation of risk. Relations between portfolio assets increase the difficulty of calculating value at risk. In this research we will make an index of all portfolio assets and make use of Vector Auto Regression and multivariate GARCH for modeling assets portfolio returns time series to calculate value at risk more precisly.

Keywords : value at risk vector autoregression multivariate garch indexing