Modeling the role of financial risk management in financial derivative instruments with the CATWOE strategic approach
Modeling the role of financial risk management in financial derivative instruments with the CATWOE strategic approach
Subject Areas : Financial Knowledge of Securities Analysis
akbar rezvani 1 , bita tabrizian 2 , hashem nikomaram 3 , فریدون رهنمای رودپشتی 4
1 - PhD student in financial engineering - Azad Rodhen University - active in the field of finance and investment
2 - Management Department, Faculty of Management & Accounting, Islamic Azad University, Roudehen, Iran
3 - Associate Professor, Department of Finance and Accounting, Department of Accounting, Faculty of Economics and Management, Islamic Azad University, Science and Research Branch, Tehran, Iran
4 - Professor and retired faculty member of Islamic Azad University, Science and Research Founding member and secretary general of the Financial Engineering Association and chairman of the Iranian Management Accounting
Keywords: ", financial risk", , ", Financial derivatives", , ", Capital Market", , ", CATWOE Strategic Approach", , ", Garch', s Econometric Methodology", .,
Abstract :
The main purpose of this research is to model the role of financial risk management in financial derivatives, based on the Garch econometric method. In addition to using scientific documents and reports, panel data related to financial reports and capital market data of the country were analyzed using E-Views10. The findings of the research showed that the estimated coefficient of real exchange rate fluctuations has the highest weight, i.e. 535 thousand, which is significant, and the estimated coefficient of monthly inflation rate has a weight of 504 thousand. In addition, the estimated coefficient of fluctuations in the value of financial derivatives transactions has been determined with a weight of 462 thousand. On the other hand, the volatility of the return of each share in the capital market has an estimated coefficient of 36% and is moving with the estimated coefficient of changes in investment experience in the capital market. The regression determination coefficient of 82% shows the very high predictive power of the econometric model of stock market research (based on the documents and data of the automotive group companies; petrochemical group companies; metal group companies; pharmaceutical group companies and stock exchange banks).
