In value-at-risk (VaR) methodology of option risk measurement, the determination of market values of the current option positions under various market scenarios is critical. Under the full revaluation and factor sensitivity approach which are accepted by regulators, accurate revaluation and precise factor sensitivity calculation of options in response to significant moves in market variables ar...

Consumption is the principal feature of Iran’s Gross National Production. Therefore, recognizing of factors that influence it is quite crucial. This article, investigates habit formation, durability, relative risk aversion and intertemporal substitution in consumption expenditures of Iranian households. For empirical study, at first, we constructed two weighted portfolio of the main assets re...

In this paper Basel regulation is modeled in Dynamic Stochastic General Equilibrium (DSGE) framework. For this purpose, using data from 1981-2017 for Iran, capital adequacy as an importance regulation is modeled. Results show Basel regulation has procyclical effect. According to the results of the model and according to the realities of economy and banking system of Iran, in recession, lending ...

abstract marketing element’s contrastive behaviors toward price risk had considerable effect on marketing margin in a way that transferring increase in price to final consumer, reduces purchasing power and so consumption amounts of consumers. present study evaluated effective parameters on marketing margin in 2 level of ranch-processing and processing- retail of beef and lamb with consideration...

AISI 301 stainless steel is a frequently used metal, especially in high temperature demands and or in part with high corrosion risk. Thin spring steel plates can be used as expansions of heat furnaces insulation and variety of all other springs. The present study has assessed the effects of temperature and thermal treatment time span on the microstructure of stainless steel 301 to achieve elast...

In this article, finite difference method (FDM) is used to study the size-dependent free vibration characteristics of rectangular nanoplates considering the surface stress effects. To include the surface effects in the equations, Gurtin-Murdoch continuum elasticity approach has been employed. The effects of surface properties including the surface elasticity, surface residual stress and surface...

When vital rates depend on population structure (e.g., relative frequencies of males or females), an important question is how the long-term population growth rate λ responds to changes in rates. For instance, availability of mates may depend on the sex ratio of the population and hence reproductive rates could be frequency-dependent. In such cases change in any vital rate alters the structure,...

We use a standard single-agent model to conduct a simple consumption growth accounting exercise. Consumption growth is driven by news about current and expected future returns on the market portfolio. The market portfolio includes financial and human wealth. We impute the residual of consumption growth innovations that cannot be attributed to either news about financial asset returns or future ...