Structural Equation Model Approach in Analyzing the Relationship Between Company Financial status and Value at Risk with Emphasis on The Role of Risk Management

Subject Areas : Financial engineering

Mohammad zamani ¹ , Ghodratollah Emamverdi ² , Yadollah Noorifard ³ , mohsen hamidian ⁴ , Seyedeh Mahboubeh Jafari ⁵

1 - Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran
2 - Department of Theoretical Economics, Tehran Central Branch, Islamic Azad University, Tehran, Iran
3 - Assistant Professor, Department of Accounting, Faculty of Economics and Accounting, Islamic Azad University, South Tehran Branch, Tehran, Iran
4 - Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran
5 - Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran

Received: 2020-04-20 Accepted : 2020-07-16 Published : 2021-03-21

Keywords: Value at Risk, risk management, Structural Equations, Market risk, Bootstrap semi-parametric method, company financial status,

Abstract :

The purpose of this study is analyzing the relationship between firm financial status and value at risk by emphasizing the role of risk management. Therefore, from value at risk information with the bootstrap simulation between the period of 2012 and 2019 and information of 138 companies in Tehran stock exchange (TSE) for statistical sample companies and the company's financial status criteria (performance measures and firm risk) and management criteria, as a moderating variable firms were used. In this study, the method of structure analysis which tests a specific model of relation between variables is used because this model is a comprehensive approach to test assumptions about the relationships of the observed and latent variables. The results of the hypotheses and model fitting showed that the firm's financial status on the value at risk is significantly effective and the risk management of this connection can be properly adjusted, however, performance measures were higher power in explaining the company's status as well as the value at risk.