طراحی مدلی نوین برای اندازه‌گیری ریسک بازدهی شاخص صنعت بیمه برپایة رهیافت مارکوف

Objective: The main purpose is to design a comprehensive and practical model for calculating the market risk of the insurance industry index in the stock market. The side goal is to test the behavior of the index for regime transitions in different time periods. Method :The approach used to achieve goals is to utilize the “Value at Risk” approach by combining the Markov regime process in body of the GARCH family models.  Finding :‌The results of the present study show that the return risk of the insurance industry follows regime transfers and has both feedback and leverage effects. Also, the regime behavior of this industry is based on the  distribution function. Also it is transmitted between regimes with different probabilities. Conclusion: The six-step mechanism designed in this study has advantages such as capability to consider regime transitions, leverage effect, feedback effect based on symmetric and asymmetric distribution functions. The results show that the designed model has higher power than conventional models in measuring the risk index of the insurance industry index.  JEL Classification : F30, G33, K01

کلیدواژه ها:

ریسک ، خانواده GARCH ، فرآیند زنجیر مارکوف