Fa
  • Ph.D. (2009)

    Financial Engineering

    Engineering, Genoa, Genoa, Italy

  • M.Sc. (2006)

    Post Graduate Finance Level II

    Finance, Collegio Carlo Alberto Turin Univ., Turin, Italy

  • M.Sc. (1997)

    Math

    Math, Sharif Univ. of Tech, Tehran, Iran

  • B.Sc. (1994)

    Math.

    Math., Sharif Univ. of Tech, Tehran, Iran

  • Financial Risk Modelling
  • Algo Trading
  • Agent Based Modelling and Simulation tools
  • Investment Management
  • FSCM & SCF
  • Asset Liabilities Management(ALM)
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Curriculum Vitae (CV)

Sensitivity Analysis of Two-Step Multinomial Backtests for Estimating VaR

MA Rastegar, M Hemati
Journal Paper , , {Pages }

Abstract

Three-stage evaluation of bank branch efficiency using bootstrap data envelopment analysis

M Vahabi, R Baradaran Kazemzadeh, MA Rastegar
Journal Paper , , {Pages }

Abstract

A method to calculate the acceptance probability and risk of rejection of bid prices on the electricity market

Bakhtiar Ostadi, Sokoufeh Ghaffari, Mohammad Ali Rastegar
Journal PaperIranian Electric Industry Journal of Quality and Productivity , Volume 9 , Issue 2, 2020 June 10, {Pages 55-59 }

Abstract

After restructuring, Iran’s electricity market has become one of the most competitive markets in which generation companies offer their proposed price on several price benches. So, the decisions in this market can use statistical concepts. In this paper, a conceptual model is presented according to simultaneous analysis of probabilistic distribution for historical data of market clearing price and frequency of acceptance of bids. Based on this model, the probable value of market clearing price is measured through the risk of historical data price intervals and the decision is made about bidding strategy. Also, a method is proposed to calculate the probability of acceptance and risk of rejection of bids on the electricity market. The data

Bayesian updating of solar resource data for risk mitigation in project finance

Hossein Jadidi, Afshin Firouzi, Mohammad Ali Rastegar, Majid Zandi
Journal PaperSolar Energy , Volume 207 , 2020 September 1, {Pages 1390-1403 }

Abstract

Project finance is based on the future cash flow of projects. Ensuring that the expected revenue of projects will cover the debt and equity obligations issued by lenders and shareholders is crucial. The uncertainty of solar resources is among the highest, and it causes fluctuations in the future cash flow of solar photovoltaic (PV) projects. To reduce this uncertainty, several methods such as measure-correlate-predict (MCP) analysis, have been applied. However, MCP is an oversimplified linear regression method that disregards the difference between the parameters and conditions of different hours throughout a day; hence, it cannot provide accurate and reliable results. Here, we propose a methodology based on Bayesian updating, which is a ro

Systemic risk assessment of the banking system by modeling of the topology of the interbank market network

Tayebeh Zanganeh, Mohammad Ali Rastegar, Kazem Chavoshi, Mirfeiz Fallah Shams
Journal PaperJournal of Investment Knowledge , Volume 9 , Issue 35, 2020 November 21, {Pages 21-48 }

Abstract

The objective of this paper is to analyze the network topology of the Iranian overnight money market through methods of statistical mechanics applied to complex networks in order to assessing systemic risk. We investigate differences in the activities of 33 Iranian banks dividing into different four types between 2010-2015 by analyzing 66 montly adjacency matrixs. Using degree distribution analysis of the networks, we find that that Iranian interbank market network is scale-free network and cumulative degree, in-degree and out-degree follows the power-law distribution. In terms of the criterion of assortativity, the interbank market network of Iran is assortative and core-periphery with one or more banks as the money center. The results sho

Dynamic Measurement of Iran Interbank Network Stability

Tayebeh Zanganeh, Mohammad Ali Rastegar, Kazem Chavoshi, Mir Feyz Fallahshams
Journal PaperEmpirical Studies in Financial Accounting , Volume 17 , Issue 68, 2020 December 21, {Pages 167-197 }

Abstract

Entering into the interbank market in order to balance profitability and liquidity risk management, depending on the conditions of short-term activities, banks are required to equip resources through this market or to lend short-term loans to other banks. Banks' commitments to each other mainly arise in the interbank market, which can lead to increased systemic risk due to the spillover effect. Therefore, the objective of this paper is to analyze the network dynamic stability of the Iranian overnight money market through methods of statistical mechanics applied to complex networks .The results show that the network structure changes during time depending economic conditions. Systemic risk measures such as clustering coefficient, average sho

Mixed-Asset Portfolio Optimization

Soudeh Sabahi, Farimah Mokhatab Rafiei, MohammadAli Rastegar
Journal PaperMonetary & Financial Economics , Volume 27 , Issue 19, 2020 May 21, {Pages 249-278 }

Abstract

Introduction At the core of any investment lies the return on investment. To gain a favorable return, an investor should take investment-related risks. The interaction between risk and return can lead to decisions on asset allocation. A key strategy in investment discussions is diversification in investment portfolio. Investment strategy is undetermined in different assets such as security, gold, currency and cryptocurrency. Despite the temporary recession and success of certain assets, it is hard to prioritize investment among assets (in terms of risk and return) to ensure that the investor makes the highest profit at the lowest risk. Thus, the present research used the Mean-CVaR model along with the Extreme value theory (EVT) based on Cop

Does One Size Fit All? The Impact of Liquidity Requirements on Bank's Insolvency: Evidence from Iranian Listed Banks

Vahideh Sotoudeh Mollashahi, Mohammad Talebi, Mohammad Ali Rastegar, Ramin Mojab
Journal PaperJournal of Money and Economy , Volume 15 , Issue 2, 2020 April 10, {Pages 181-197 }

Abstract

According to the Basel III regulatory framework, uniform minimum liquidity requirements have been imposed on all types of banks. Using an agent-based model of a banking system, we investigate the effects of liquidity requirements on banks' insolvency under two policy experiments in one of which the minimum liquidity requirements are applied uniformly and in the other differentially across banks. The model introduces a banking system with 12 heterogeneous banks that must also comply with two liquidity requirements while performing their daily activities of taking deposits and making loans. The model is applied to the Iranian banking system. Results illustrate that because banks respond differently to liquidity requirements, applying one size

Credit Risk Modeling: Spline based logistic regression Survival approach

Mohammad Ali Rastegar, Mahdi Eidi Goosh
Journal PaperJournal of Investment Knowledge , Volume 9 , Issue 34, 2020 August 22, {Pages 167-184 }

Abstract

Nowadays, banks in the country are faced with serious problems in terms of their assets. One of the factors that led to this situation is the poor quality of banks' assets, which can be attributed to the lack of a rating system and an improper assessment of credit risk. This study predicts the probability of default during a specific time using the Cox regression model as well as the survival model of spline-based logistic regression. For modeling of credit risk, using these two methods, 10 variables related to 2861 customers of an Iranian bank were used. We compared two models using ROC method, the Cox regression model with AUC = 0.799 was more efficient than the spline-based logistic regression model with AUC = 0.746.

Study of issuing mortality bonds in Iran and its pricing

Mohammad Ali Rastegar, Zahra Manshouri
Journal PaperIranian Journal of Insurance Research , Volume 35 , Issue 3, 2020 November 21, {Pages }

Abstract

Objective:? This paper analyzes the possibility of publishing mortality bonds. This class of securities provides attractive investment opportunities for capital market and is a good hedging tool for managing the risk of life insurance companies. It allows the insurers to access a new source of financing and provides some facilities for investors to diversify their portfolios. Methodology: In order to conduct pricing of mortality bonds, it is required to predict future rate of mortality. We used lee and carter model simulation mortality rate, because that is very flexible and can be used by limited data. Here, the mortality rate of 5 _year age groups for years between 1996 and 2016 was calculated. The reason for using Gregorian calendar is t

Designing an Automated Trading System Using Convolutional Neural Network

Amir Hossein Yaftian, Mohammad Ali Rastegar
Journal PaperFinancial Management Perspective , Volume 10 , Issue 31, 2020 October 22, {Pages }

Abstract

In recent years, many articles and researches have been published on the use of machine learning methods and algorithmic trading in financial markets in order to earn returns. The aim of this study is to create an automated trading system using image processing by convolutional neural network. For this purpose, initially, after receiving the data required for the selected stocks, 28 technical analysis indicators were selected and the values of each were calculated separately for each stock. Then the time series of these indicators were converted to 2D images, and as a result, for each data on the time series of the stock price, a 2D image with dimensions of 28 x 28 was created. After labeling each image with one of the buy, sell, and hold l

What is the Reaction of Iranian Listed Banks to the Implementation of Liquidity Requirements?

Vahideh Sotoudeh Mollashahi, Mohammad Talebi, Mohammad Ali Rastegar, Ramin Mojab
Journal PaperIranian Journal of Economic Studies , Volume 9 , Issue 1, 2020 April 4, {Pages 147-180 }

Abstract

After the financial crisis of 2007-2009, in which liquidity problems led to insolvency and consequently the bankruptcy of many large banks and financial institutions such as Lehman Brothers, Basel Committee on Banking Supervision introduced liquidity requirements for the most part to reduce the possibility of bank insolvency caused by liquidity shocks. This research develops an agent-based model of a banking system to be used to analyze the impact of the liquidity requirements on the solvency position of banks. The model devises a banking system with 12 heterogeneous banks in which banks perform their traditional activities namely taking deposits and making loans. Banks can fulfill their liquidity needs by engaging in interbank lending, sel

A Study of Issuing Mortality Bonds in Iran and its Pricing

MA Rastegar, Z Manshouri
Journal Paper , , {Pages }

Abstract

An operational exercise for disaster assessment and emergency preparedness in south of Iran

H Sheikhbardsiri, MH Yarmohammadian, H Khankeh, G Khademipour, ...
Journal Paper , , {Pages }

Abstract

Measuring the Stock Liquidity Using a Market Microstructure Approach

N Hadi Doulabi, MA Rastegar, P Mohammadi
Journal Paper , , {Pages }

Abstract

ارائه روشی برای محاسبه احتمال پذیرش و ریسک عدم پذیرش قیمت‌ها در بازار برق‎

استادی, بختیار, غفاری, شکوفه, رستگار‎
Journal Paper , , {Pages }

Abstract

Improvement of the polar magneto-optical Kerr effect in the spatial tunable one-dimensional magnetophotonic crystals

Tahmineh Jalali, Abdolrasoul Gharaati, Mohammad Rastegar, Mohammad Ghanaatian
Journal PaperOptik , Volume 182 , 2019 April 1, {Pages 949-960 }

Abstract

We have studied the magnetophotonic crystals (MPCs) with excellent capabilities to enhance reflection and Kerr rotation simultaneously. In order to simultaneously investigate the symmetric and nonsymmetric spatial structures, we have considered the different repetition numbers for dielectric photonic crystals around the magnetic defect layer. To construction of dielectric Bragg mirrors, we have used of Al2O3 due to low refractive index and its unique optical features. The Ce:YIG with high magneto-optical features is utilized as magnetic material to increasing the magneto-optical responses of structures. By adjusting spatial features such as repetition numbers of PCs and thickness of magnetic defect layers, we have achieved the magneto-optic

Enhancement of the Magneto-Optical Kerr Effect in One-Dimensional Magnetophotonic Crystals with Adjustable Spatial Configuration

Tahmineh Jalali, Abdolrasoul Gharaati, Mohammad Rastegar, Mohammad Ghanaatian
Journal PaperJournal of Optoelectronical Nanostructures , Volume 4 , Issue 1, 2019 January 1, {Pages 67-86 }

Abstract

Revised 25 Jan. 2019; Accepted 18 Feb. 2019; Published 15 Mar. 2019) Abstract: We studied magnetophotonic crystals (MPCs) with introduced magnetic defect layer sandwiched between magnetic and dielectric Bragg mirrors. These magnetophotonic crystals have excellent capabilities to enhance reflection and Kerr rotation simultaneously. By adjusting spatial configuration such as repetition numbers of Bragg mirrors and thickness of magnetic defect layer, we achieved the Kerr rotation angles more than 75 and reflection very close to 1. We briefly described the formulation of finite element method (FEM) and transfer matrix method (TMM). The electric field distribution and magnitude of it along the MPCs are simulated using FEM. Using the TMM, we calc

Enhancement of Faraday rotation in defect modes of one-dimensional magnetophotonic crystals

TAHMINEH JALALI, ABDOLRASOUL GHARAATI, MOHAMMAD RASTEGAR
Journal Paper , 2019 January , {Pages }

Abstract

In this paper, employing of one-dimensional magnetophotonic crystals in infrared wavelengths range is considered. For this purpose, magnetophotonic multilayer structures, composed of magnetic defect layer surrounded by dielectric and MO Bragg mirrors, have been proposed. Ce: YIG with an optical thickness in the range of 0 to λs was used as a magnetic material. By using four by four transfer matrix method, the transmittance values and Faraday rotation (FR) angles of these structures were computed. The electric field distribution was obtained by Finite Element Method (FEM). By investigation of transmittance and FR angle of magnetophotonic crystals, it was possible to design the optimized structures with a rotation larger than 30 degrees and

Customers' Credit Risk Evaluation Using LINMAP Analysis (A Case Study on an Iranian Commercial Bank)

Esfahani Seyed Ali Naji, MOHAMMAD ALI RASTEGAR
Journal Paper , Volume 12 , Issue 4440065, 2019 January 1, {Pages 143-161 }

Abstract

The aim of this paper is evaluation and forecasting of credit risk of the companies that were applied for a loan in a commercial bank in Iran. So, by using cross-section random sampling by having 75% of total data as an in-sample and 25% as out-sample and also by using LINMAP model, financial statements and their performance in the bank were investigated during 1389-1393. The results indicate the efficiency of the method for forecasting credit behavior of the bank's customers. Considering the method advantages including its independence to the companies' financial background and precision in forecasting relative to prevailing methods, it is recommended to use this method as input to researches for banks' credit portfolio management.

Current Teaching

  • MS.c.

    Financial Risk Analysis and Management

  • MS.c.

    Fixed Income Markets

Teaching History

  • MS.c.

    Fundamentals of Financial Engineering

  • MS.c.

    Selected Topics in Financial Engineering (Algorithmic Trading)

  • 2021
    Soleimani, Alireza
    A deep reinforcement learning-based model for credit scoring
  • 2021
    Sadeghi Ghaye Bolaghi, Mahdi
  • 2021
    Aliabadi, Arman
  • 2021
    Golmohammadi, Mostafa
  • 2021
    Mirtalebi, Seyed Ali
  • 2019
    Hadi Doulabi, Nastaran
    Hybrid financing modeling in a capital-constrained supply chain

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