Assessment and Presentation of a Proper Paradigm to Identify, Measure, and Control Financial Risks in Financial and Credit Institutions (Case Study of Mellat Bank)

Subject Areas : Futurology

M. Taghavi ¹ , M. Khodaei Valahzaghard ²

1 - ندارد
2 - نویسنده مسئول یا طرف مکاتبه

Received: 2009-01-04 Accepted : 2009-02-22 Published : 2010-09-23

Keywords: Financial Risk, liquidity risk, Exchange Rate Risk, Interest Rate Risk, Value at Risk (VaR), Structural Equation Modeling (, Linear Structural Relationship,

Abstract :

Financial and credit institutions are threatened by different types of risks. The main objective in thisresearch is to assess and present a proper paradigm to identify, measure, and control financial risks infinancial and credit institutions. The method of research according is applied upon implementation andcorrelation methods, and ex-post facto is accomplished in Bank Mellat. Sampling is intentional, andthe sample volume was determined by the researcher. Required data for this research were collecteddaily from 39 regional offices of Mellat Bank between 2005 and 2007. Structural Equation Modeling(SEM) and Linear Structural Relationships (LISREL) were used to analyze the research data. Thisstudy shows that the impact of loans and investment on liquidity risk, the impact of assets and foreigncurrency debts on foreign currency risk, and the impact of interest sensitive assets and debts volatilityvariant on interest risks are meaningful.