List of Articles واژگان کلیدی: ریسک

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  1 - بررسی عوامل موثرتعیین کننده بر رفتار سرمایهگذاران بیمه عمر (مطالعه موردی: استان آذربایجان شرقی)
  موسی احمدی رضا صادقی گرگری
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  2 - The Effects of Liquidity Creation on Systemic Risk: by Concentration on Banks Balance Sheet Structure
  somaye sadeghi
  10.30495/eco.2023.1983098.2740
  This study investigates the determinants factors of systemic risk in Iranian banks during 2013-2022. The contribution is on banks liquidity creation and their balance sheet structure. For this purpose, the systemic risk of banks has been estimated and ranked by marginal More

  This study investigates the determinants factors of systemic risk in Iranian banks during 2013-2022. The contribution is on banks liquidity creation and their balance sheet structure. For this purpose, the systemic risk of banks has been estimated and ranked by marginal expected shortfall (MES) index, using dynamic multi-garch models. The results by using Panel GMM method indicate that an increase in the balance sheet liquidity creation causes the vulnerability of banks to increase. Also, the liquidity creation on the side of assets (holding non-cash assets) significantly increases the systemic risk for banks, while which on the side of debts (holding of demand deposits) reduces the banks systemic risk and their fragility. In addition, the findings indicate that the bigger the size, the more non-traditional activities (non-interest income) and the higher the ratio of non-performance loans, the higher systemic risk in banks. while the higher capital adequacy in banks, the lower the systemic risk. Manuscript profile
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  3 - The Estimation of Systematic Risk in Iranian Financial Sectors (ΔCoVaR Approach)
  samad hekmati farid Ali Rezazadeh ali malek
  Abstract The occurrence of last crisis has led to the consideration of systematic risk and it's transmission in theoretical and empirical point view. Hence, the main aim of this paper is to estimate and localize of systematic risk in financial sectors of Iran such as St More

  Abstract The occurrence of last crisis has led to the consideration of systematic risk and it's transmission in theoretical and empirical point view. Hence, the main aim of this paper is to estimate and localize of systematic risk in financial sectors of Iran such as Stock, Insurance and Bank sectors during the period of 1995-2015.  The quintile regression econometric approach has been used for estimating the difference conditional value at risk in these sectors. The main empirical findings of post estimation indicated that there is significant difference between Stock, Insurance and Bank sectors as main financial sectors. Moreover, the results of Fridman test as a method for ordering of variable status showed that, the systematic risk of insurance is high and risk of bank is low during the period of study. So, there is significant difference between orders of financial sectors in Iran over the period of study. Manuscript profile
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  4 - Customers' Credit Risk Evaluation Using LINMAP Analysis (A Case Study on an Iranian Commercial Bank)
  Seyed Ali Naji Esfahani Mohammad Ali Rastegar
  Abstract The aim of this paper is evaluation and forecasting of credit risk of the companies that were applied for a loan in a commercial bank in Iran. So, by using cross-section random sampling by having 75% of total data as an in-sample and 25% as out-sample and also More

  Abstract The aim of this paper is evaluation and forecasting of credit risk of the companies that were applied for a loan in a commercial bank in Iran. So, by using cross-section random sampling by having 75% of total data as an in-sample and 25% as out-sample and also by using LINMAP model, financial statements and their performance in the bank were investigated during 1389-1393. The results indicate the efficiency of the method for forecasting credit behavior of the bank's customers. Considering the method advantages including its independence to the companies' financial background and precision in forecasting relative to prevailing methods, it is recommended to use this method as input to researches for banks' credit portfolio management.    Manuscript profile