The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...

Paralleling regulatory developments, we devise value-at-risk and expected shortfall type risk measures for the potential losses arising from using misspecified models when pricing and hedging contingent claims. Essentially, losses from model risk correspond to losses realized on a perfectly hedged position. Model uncertainty is expressed by a set of pricing models, relative to which potential l...

Abstract The main objective of this study was to examine the relationship between Value at Risk (VaR) and expected returns from 2002 to 2013 in Tehran’s Stock Exchange. In this study parametric value at risk, which considers the distribution of returns as normal and the historical value at risk as abnormal, was used to test the presence of the volatility anomaly in the companies listed i...

value stream mapping because of being able to understand process bottlenecks, as one of the most common tools for analyzing, identifying and eliminating various losses in operational and support processes are used. on the other hand, inventory management, precise control entry and exit of goods, accurate and timely information about the inventories status and planning, reduce product maintenanc...

Today, one of the most fundamental issues within the field of industrial and nonindustrial activities is evaluate the costs performance of the units which are associated with industrial and nonindustrial activities. Data envelopment analysis (DEA) is a nonparametric method for evaluating performance. Fuzzy sets theory is a powerful tool for mentioning ambiguous situations. Traditional DEA model...