University of Isfahan Journal of Asset Management and Financing 2383-1189 4 4 2016 12 21 Designing a New Model for Valuation of Financial Contracts based on the Investment Risk Assessment Designing a New Model for Valuation of Financial Contracts based on the Investment Risk Assessment 29 44 21107 10.22108/amf.2016.21107 FA Keivan Mahmoudiazar Engineering Management Dept., Faculty of Industrial Engineering, Amirkabir University of Technology, Tehran, Iran Ali Mohammad Kimiagari Engineering Management Dept., Faculty of Industrial Engineering, Amirkabir University of Technology, Tehran, Iran Journal Article 2015 02 08 In this research, a new model for valuation of financial contracts is designed by using guaranteed and participation rates. In the traditional methods, valuation of these contracts is determined with the use of minimum guaranteed rate of returns such as risk free rate. However, the proposed model is based on the valuation of these contracts by guaranteed and participation rates as well as the customer's risk tolerance and investment risk. In this model, first an asset allocation model is considered in order to model market elements such as certificate of deposit, bonds and stocks. Then, conditional value at risk, as a proper risk measure, is used to determine guaranteed and participation rates and fair valuation of the contracts. To improve the validity, the model is run for both the capital markets of Iran and the United States of America. The variables used in this study are interest rate of banks, bonds and stock index from 1998 to 2012 in Iran and from 1980 to 2012 in America. <br />  In this research, a new model for valuation of financial contracts is designed by using guaranteed and participation rates. In the traditional methods, valuation of these contracts is determined with the use of minimum guaranteed rate of returns such as risk free rate. However, the proposed model is based on the valuation of these contracts by guaranteed and participation rates as well as the customer's risk tolerance and investment risk. In this model, first an asset allocation model is considered in order to model market elements such as certificate of deposit, bonds and stocks. Then, conditional value at risk, as a proper risk measure, is used to determine guaranteed and participation rates and fair valuation of the contracts. To improve the validity, the model is run for both the capital markets of Iran and the United States of America. The variables used in this study are interest rate of banks, bonds and stock index from 1998 to 2012 in Iran and from 1980 to 2012 in America. <br />  https://amf.ui.ac.ir/article_21107_f25a7356231196b8740ab068d806b60c.pdf