List of articles (by subject) Risk Management
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Open Access Article
1 - Ranking of Banks’ Risk Reporting Using Data Envelopment Analysis
Azar Moslemi Zahra Pourzamani Azita JahanshadThe present study aimed to rank banks in terms of board of directors report and notifying the users of reports. In addition, we evaluated factors affecting risk disclosure from the perspective of corporate governance. Moreover, we assessed risk disclosure based on lingu MoreThe present study aimed to rank banks in terms of board of directors report and notifying the users of reports. In addition, we evaluated factors affecting risk disclosure from the perspective of corporate governance. Moreover, we assessed risk disclosure based on linguistic analysis of board report text and capital adequacy ratio. Words were applied as measurement units to measure risk disclosure. The advantage of this technique is the unique analysis of words. According to the theoretical foundations presented in the present study, we first identified risk disclosure words in reports provided to financial information users and divided them into two categories of positive and negative risk disclosure words. Another variable selected for risk disclosure was capital adequacy ratio. Effective variables in corporate governance system in banks included the board independence, duality of CEO duties, and major shareholders as input variables in data envelopment analysis (DEA) model. On the other hand, the BCC model of DEA was selected as output-based nature. The statistical population included all banks listed in Tehran Stock Exchange. In total, 20 year-bank units listed during 2016-2017 were assessed. In the end, seven year-bank units were considered efficient while the rest were inefficient. Moreover, we estimated the amount of shortage in outputs to reach inefficient banks to the desired level of efficiency. Manuscript profile -
Open Access Article
2 - Investigating the Effect of Business Strategy and Stock Price Synchronicity on Stock Price Crash Risk
Ghazal Hosseinzadeh Zorofchi Alireza Heidarzadeh Hanzaei Mohammad HasaniStock price crash risk has a significant impact on investors, creditors, managers, and shareholders, so the prediction of this phenomenon is a very important issue in investment and risk management decisions. This research investigates the effect of business strategy a MoreStock price crash risk has a significant impact on investors, creditors, managers, and shareholders, so the prediction of this phenomenon is a very important issue in investment and risk management decisions. This research investigates the effect of business strategy and stock price synchronicity on stock price crash risk. Following Bentley et al.[2], composite strategy score has been used to proxy for an organization’s business strategy, expanded market model regression following Chen et al. [3] to measure the firm-specific crash risk, and R2 method of Johnstone [14] to calculate the stock price synchronicity. In order to achieve this point, financial information of 171 companies that are listed on Tehran stock exchange have been selected during the time period of 2013 to 2018, and data was analysed using regression model. According to the results, companies with defender (analyser and prospector) business strategy are less (more) prone to future crash risk. Moreover, results show that stock price syn-chronicity has positive effect on stock price crash risk, while in companies with analyser business strategy it can reduce the stock price crash risk. The interactive effect of business strategy and stock price synchronicity on stock price crash risk in companies with prospector and defender business strategy is not significant. Other findings suggest that Institutional ownership has positive, and company’s age has negative effect on stock price crash risk. Manuscript profile -
Open Access Article
3 - Introduction of New Risk Metric using Kernel Density Estimation Via Linear Diffusion
Ahmad Darestani Farahani Mohammadreza Miri Lavasani Hamidreza Kordlouie Ghodratallah TalebniaAny investor in stock markets around the world has a deep concern about the shortfalls of allocation wealth to any stock without accurate estimation of related risks. As we review the literature of risk management methods, one of the main pillars for the risk management MoreAny investor in stock markets around the world has a deep concern about the shortfalls of allocation wealth to any stock without accurate estimation of related risks. As we review the literature of risk management methods, one of the main pillars for the risk management framework in defining risk measurement approach using historical data is the estimation of the probability distribution function. In this paper, we propose a new measure by using kernel density estimation via diffusion as a nonparametric approach in probability distribution estimation to enhance the accuracy of estimation and consider some distribution characteristics, investor risk aversion and target return which will make it more accurate, compre-hensive and consistent with stock historical performance and investor concerns. Manuscript profile -
Open Access Article
4 - Identifying and Prioritizing Investment Risks in Sports Projects
Hossein Dalvand Mohammad Hasan Maleki Hossein Jahangirnia Mojgan SafaOne of the biggest shortcomings of urban spaces in most cities of the country is the lack of suitable sports spaces, which in addition to improving the health of the general public, especially the youth, creates a lively environment and can boost the development of the MoreOne of the biggest shortcomings of urban spaces in most cities of the country is the lack of suitable sports spaces, which in addition to improving the health of the general public, especially the youth, creates a lively environment and can boost the development of the tourism industry. Many projects in the country, especially sports, are slow or stopped due to not evaluating the relevant risks, so the purpose of this study is to identify and prioritize investment risks in the country's sports projects. The present study is a positive research in terms of philosophical foundations and is applied in terms of orientation. The statistical population of the study includes experts in the field of sports tourism and the sampling method has been done judgmentally. To conduct the research, in the first stage, the risks of investing in sports projects were assessed through literature review. The number of these risks was 15, and after screening with a Binominal test, 6 factors were excluded. The remaining 9 factors were evaluated in terms of degree of impact with Dematel technique and 5 factors, i.e. market risks, economic risks, legal risks, financing risks and stakeholder conflict risks were selected as the most effective risks in terms of net effect index. Finally, these 5 risks were ranked by Aras decision technique and it was observed that the economic, market and financing risks, had the highest priority. Manuscript profile -
Open Access Article
5 - Insurance Claim Classification: A new Genetic Programming Approach
Alireza Bahiraie Farbod Khanizadeh Farzan KhamesianIn this study we provide insurance companies with a tool to classify the risk level and predict the possibility of future claims. The support vector machine (SVM) and genetic programming (GP) are two approaches used for the analysis. Basically, in Iran insurance industr MoreIn this study we provide insurance companies with a tool to classify the risk level and predict the possibility of future claims. The support vector machine (SVM) and genetic programming (GP) are two approaches used for the analysis. Basically, in Iran insurance industry there is no systematic strategy to evaluate the car body insurance policy. Companies refer mainly to the world experience and employ it to rate the premium. An insurance claim dataset provided by an Iranian insurance company with a sample size of 37904 is considered for programming and analysis. According to the structure of the dataset, a supervised learning algorithm was used to describe the underlying relationships between variables. Manuscript profile -
Open Access Article
6 - Measuring the Credit Risk of Bank Based on Z-Score And KMV- Merton Models: Evidence from Iran
Mohammad Roshandel Mirfeiz Fallahshams Fereydoun Rahnama Roodposhti hashem nikoumaramThis paper examines the credit risk in the Iranian banks during 2008 to 2018 through the Z-score (Accounting based data) and the KMV-Merton (Market based information) models. In the Merton model, equity is equal to call option on underlying value of the bank’s ass MoreThis paper examines the credit risk in the Iranian banks during 2008 to 2018 through the Z-score (Accounting based data) and the KMV-Merton (Market based information) models. In the Merton model, equity is equal to call option on underlying value of the bank’s asset. The market value of assets is estimated by share price. The value of assets is then compared to the value of liabilities. Therefore, default when occurs that the market value of assets is less than the book value of debts. so, value of equity becomes negative. In the Z-score model, Return on Assets and Equity to Assets as the numerator and standard deviation of ROA as the denominator are applied. If the mentioned ratios of numerator increase and the denominator decrease, the probability of default decline. As well as, Independent variables are divided into five groups: leverage, management efficiency, profitability quality, financial health, and liquidity. As a result, capital adequacy and profitability have a greater impact on both models. Also, the ANOVA table proves the validity of two models. The value of ROC test in both models is above average (0.5) which are efficient and their efficiency is 99.48% and 92.68%, respectively. Also, in terms of Voung’s test, the KMV is more efficient than the Z-score. Manuscript profile -
Open Access Article
7 - Developing a model for managing the risk assessment of import declarations in customs based on data analysis techniques
Hassan Ali Khojasteh Aliabadi Saeed Daei-Karimzadeh Majid Iranpour Mobarakeh Farsad Zamani BoroujeniIn customs management, the main problem is balancing the needs of trade facilita-tion as a process of simplifying and accelerating foreign business on the one hand and countering illegal trade, reducing government revenue, capital sleep and the level of controls and int MoreIn customs management, the main problem is balancing the needs of trade facilita-tion as a process of simplifying and accelerating foreign business on the one hand and countering illegal trade, reducing government revenue, capital sleep and the level of controls and interventions on the other. Also, due to the financial crisis in recent years, risk management has been reconsidered, although this attention is related to various financial branches. Since risk analysis and identification is the main component of risk management, developing a suitable model for data analysis is of particular importance. The purpose of this study was to use data data analysis techniques to develop an intelligent model to timely predict the risk of import declarations in customs and thus prevent irreparable losses. In this study, data analysis techniques have been used according to the statistical population which is data-driven. Statistical data were extracted from www.eplonline.ir with 575006 import declarations of all Iranian customs during 2019-2020. having pre-processed and prepared the data using PCA, LDA and FastICA methods, attribute reduction and effective attribute extraction were performed using 14 data analysis algorithms. Using Python software, algorithms were trained and modeled with 80% of the final data. Then, 14 obtained models were tested and validated with 20% of the data. Finally, the results of these models were compared with each other and the model obtained from the random forest algorithm was selected as a comprehensive model for predicting and determining the level of risk of import declarations at customs. Manuscript profile -
Open Access Article
8 - Analyzing the performance of DEA models for bankruptcy prediction in the energy sector: with emphasis on Dynamic DEA approach
Mohammad Ali Khorami Seyed Babak Ebrahimi Majid Mirzaee GhazaniPredicting bankruptcy risk is one of the most critical issues in corporate financial decision-making. Investors always try to predict the bankruptcy of a firm to reduce the risk of losing their assets, so they are looking for ways by which they can predict the risk of b MorePredicting bankruptcy risk is one of the most critical issues in corporate financial decision-making. Investors always try to predict the bankruptcy of a firm to reduce the risk of losing their assets, so they are looking for ways by which they can predict the risk of bankruptcy. We predict the position of companies active in the oil and gas industry based on their financial health in the 2020 ranking of S&P global up to three years before 2020. This study uses three data envelopment analysis models (CCR, BCC, and DDEA) and the traditional Altman model for forecasting. We have shown that dynamic data envelopment analysis is a powerful tool for predicting bankruptcy risk. Manuscript profile -
Open Access Article
9 - Identifying the Effective Factors on Investors' Behavior and Developing a Measurement Model
Eslam Shafeie noghlebari Seyed mozaffar Mirbargkar Ebrahim Chirani mohamad Reza vatanparastObjective: To identify the components affecting the behavior of investors and to develop a measurement model using a confirmatory factor analysis approach.Method: This is a correlational paper to identifythe dimensions and structures affecting investor behavior first us MoreObjective: To identify the components affecting the behavior of investors and to develop a measurement model using a confirmatory factor analysis approach.Method: This is a correlational paper to identifythe dimensions and structures affecting investor behavior first using TOPSIS technique and then with first-order confirmatory factor analysis and second-order factor analysis. The statistical population includes people who have been active in the Tehran Stock Exchange for at least two years with asample of 327. The sampling method is convenience nonprobability sampling. The data was collected through a researcher-made questionnaire. The expert approval and Cronbach's alpha coefficient were used to assess the content validity. Findings: the current paperidentified seven factors as effective factors on investor behavior according to the theoretical literature and research background using TOPSIS technique. In the next stage, the research findings using the confirmatory factor analysis approach indicate that the two factors of investor financial literacy and investor personality traits have the most effective role in investor behavior. Also, the factors of higher expected returns, rules and regulations, security, profitability, position and location of investment are the next effective priorities on the behavior of investors. Manuscript profile