Assessing the Transparency of Selected Private Banks' Information Based on Risk Criteria (Value At Risk)

Subject Areas :

Hossein Abdo Tabrizi ¹ , reza tehrani ² , Ghodratolla Imam Verdi ³ , Saeed Fallahpour ⁴ , Ali Baghani ⁵

1 - Professor, Department of Financial Management and Insurance, Faculty of Management and Accounting, Shahid Beheshti University
2 - Professor, Department of Financial Management and Insurance, Faculty of Management, University of Tehran, Iran
3 - - Staff, Department of Financial Management and Insurance, Faculty of Management, University of Tehran, Iran
4 - Assistant Professor, Department of Economics, Tehran Center, Islamic Azad University, Tehran, Iran
5 - - PhD Student, Department of Financial Management and Insurance, Faculty of Management, University of Tehran, Iran

Received: 2022-06-23 Accepted : 2022-08-27 Published : 2022-11-11

Keywords: Information Transparency, Correlation Coefficient, EGARCH, Keywords: Value at risk (VaR),

Abstract :

AbstractTransparency of financial information has always been one of the most important concerns of investors and depositors of the banking system. Therefore, the purpose of this study is to investigate the significant relationship between value at risk using book data and market data as a measure of information transparency. For this purpose, at first, the value at risk was calculated using the EGARCH model and then, to examine the significance of the relationship and ranking of banks in terms of information transparency, Pearson correlation coefficient between value at risk (VaR)  calculated from market data and book data has been used. The results showed that in the simultaneous data dimension, there is a weak relationship between book and market VaR  and only the correlation coefficient between book and market VaR of Pasargad and Sina banks are statistically significant at 95% confidence level. If we consider the issue of the speed of book value information spreading in the market with a time lag, the values of the correlation coefficient of book and market VaRs for Parsian, Pasargad and Eghtesad-e-novin banks are significant at 99% confidence level and this coefficient is significant for Sina and Saman banks at 95% confidence level.

References:

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