Comparison of individual risk models

Comparison of the programming models for considering risk in farm planning:application of utility-efficient programming

Risk Management in Oil Market: A Comparison between Multivariate GARCH Models and Copula-based Models

H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...

Comparison of Random Survival Forests for Competing Risks and Regression Models in Determining Mortality Risk Factors in Breast Cancer Patients in Mahdieh Center, Hamedan, Iran

Introduction: Breast cancer is one of the most common cancers among women worldwide. Patients with cancer may die due to disease progression or other types of events. These different event types are called competing risks. This study aimed to determine the factors affecting the survival of patients with breast cancer using three different approaches: cause-specific hazards regression, subdistri...

Estimating the Dynamics of Information Risk at the Tehran Stock Exchange

The aim of this study is to investigate the dynamics of information risk at the Tehran Stock Exchange (TSE). We estimated the daily probability of information based trade (PIN) for 22 stocks from 11 different industries of TSE over 4 years. The total average of the daily PIN for all stocks was 27% from 2013 to 2016. The lowest and the highest average of PIN estimates for individual stocks are 2...

Identifying patterns of the dynamic credit risk of banks customers and financial institutions: case study- an Iranian bank

Credit risk assessment has always been one of the most important concerns of banks. Widely used models such as financial models have been used to assess credit risk so far. But increasing non-performing loans indicates that today these models cannot assess the credit risk of customers. Inconstant and uncertain environmental, social and political factors affect customer behavior and change custo...