Risk analysis
Mohsen Shafiei Nikabadi; Leila Helalian
Abstract
Purpose: The ranking of supply chain risks using a combined approach is to optimize the method of analyzing failure factors and their effects and gray theory in Mashhad food industry units.Methodology: Due to its nature, the present research belongs to the category of descriptive-analytical researches, ...
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Purpose: The ranking of supply chain risks using a combined approach is to optimize the method of analyzing failure factors and their effects and gray theory in Mashhad food industry units.Methodology: Due to its nature, the present research belongs to the category of descriptive-analytical researches, with qualitative variables, and from the point of view of the objective, it belongs to the category of applied researches. In this research, the risks in the supply chain of the food industry were first identified. In such a way that; first, the risks in the supply chain were identified through library studies and research literature, and then they were given to the experts using a fuzzy Delphi questionnaire to be rated by the Likert scale. Due to the time limitation and defects in the analysis as well as vague, incomplete and uncertain information data, these points became a gray area. Then, using the method of analysis of failure factors and its effects, the risk priority score number was calculated in order to investigate potential failure situations. In this way, the indicators and dimensions of supply chain risks were ranked with the number of the priority score of risk taking. Risks with a higher risk priority score have a higher risk tolerance and require more attention.Findings: The result of scoring and calculations determined that the economic dimension has the highest risk in the supply chain. After the economic dimension, the legal, strategic, individual, political and natural dimensions are the second to the sixth, and the cultural and social dimensions are the seventh and the information dimension is the eighth.Originality/Value: The findings of this research will help managers, considering the limited resources, for control and management, especially in conditions of uncertainty, by prioritizing the risks of their supply chain. According to the level of risk-taking of each, as well as considering preventive measures regarding these risks, to prevent possible irreparable and critical injuries.
Risk analysis
Rasool Roozegar; Samane Arkia
Abstract
Purpose: We have introduced the two-sided Lomax-GARCH (TSLx-GARCH) model. We have used this model to create a more realistic value-at-risk value index than other distributions for all confidence levels. We find this index for applied data.Methodology: In this study, a new flexible distribution for GARCH ...
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Purpose: We have introduced the two-sided Lomax-GARCH (TSLx-GARCH) model. We have used this model to create a more realistic value-at-risk value index than other distributions for all confidence levels. We find this index for applied data.Methodology: In this study, a new flexible distribution for GARCH models in predicting the value at risk is presented. Accurate modeling of financial returns requires proper innovation distribution.Findings: Experimental results show that the GJR-GARCH model, with its innovative TSLx distribution, generates realistic value index predictions, realistic normal distribution, t-student and generalized error distributions for all levels of confidence. The proposed distribution flexibility opens up an opportunity to increase the accuracy of financial return modeling in GARCH models.Originality/Value: We have used the TSLx-GARCH in data modeling and simulation and find both skewness and excess elongation in the financial return series and confidence levels for all levels.
Risk analysis
Rasool Roozegar; Bahaeddin Soufi; Hamid Reza Taherizadeh
Abstract
Value at risk and expected shortfall are the two most popular measures for calculating financial risk. To calculate these measures (Value at risk and expected shortfall) there are many approaches, which can be divided into two main categories; parametric and non-parametric. In parametric approach it ...
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Value at risk and expected shortfall are the two most popular measures for calculating financial risk. To calculate these measures (Value at risk and expected shortfall) there are many approaches, which can be divided into two main categories; parametric and non-parametric. In parametric approach it is supposed that the distribution of asset return belongs to a specific class of distributions. For some distributions we can claculate easily the mentioned measures. In this paper the the relation of epected shortfall has been proved for four symetric distribution.