کفایت سرمایه

Open Access Article

1 - Explaining Stocks’ Return Based on Prospect Theory
Fatemeh Ghadimi Afsaneh Soroushyar

The way of allocating money to stock is the one of investors’ concerns. Investors mentally represent the stock by the distribution of its past returns and then evaluate this distribution in the way described by prospect theory. Therefore, prospect theory value as More

The way of allocating money to stock is the one of investors’ concerns. Investors mentally represent the stock by the distribution of its past returns and then evaluate this distribution in the way described by prospect theory. Therefore, prospect theory value as an influential factor in explaining stock returns has attracted many researchers. The purpose of this study was to investigate the effect of the prospect theory on future stock returns in listed companies in Tehran Stock Exchange. The statistical sample of the research, which has been selected by systematic elimination method, includes 104 companies from the companies listed in the Tehran Stock Exchange during the years 2012 to 2016. In this research, Fama and Franch model (1992) have been used to test the research hypotheses. The research model is fitted twice separately, once using panel data and again by the time series method, by the formulation of the portfolios. The results of the research show that the prospect theory value has a negative effect on stock returns. Manuscript profile

Open Access Article

2 - Identify and examine the process of impact of the most important variables affecting the banking crisis over time
ghodratolah talebnia siavash malekpour Hamidreza Vakilifard Mohammad Hossein Ranjbar

AbstractThe study of banking crises in the world over time shows that some of them are destructive. Institutional problems, economic and financial sanctions and even the spread of the Corona virus have significantly increased the likelihood of crisis in the country's ba More

AbstractThe study of banking crises in the world over time shows that some of them are destructive. Institutional problems, economic and financial sanctions and even the spread of the Corona virus have significantly increased the likelihood of crisis in the country's banking system. The share of more than 80% of banks in financing financing investment in the country has doubled the importance of identifying the factors affecting the banking crisis. Banks are used. The present research is applied in terms of research method. Estimation of Bayesian averaging model and TVP_FAVAR in MATLAB 2021 software in 11-year period (2008-2019); it is going to happen. The sample is 10 banks listed on the Tehran Stock Exchange. Initially, 49 variables affecting the banking crisis were entered into the model and 12 non-fragile variables affecting the financial crisis were identified using the Bayesian averaging model approach. The output of the results shows that the banking crisis index in the Iranian economy is multifaceted because the variables related to monetary and financial sector policy makers affect it; The results of the TVPFAVAR model also show that the effect of variables affecting the banking crisis is generally positive and strong, and this effect is generally stronger in the long run than in the short run; As a result, in order to reduce the banking crisis, medical and discretionary policies can not prevent the occurrence of the banking crisis, and institutional and fundamental policies and infrastructures are needed. Manuscript profile

Open Access Article

3 - Examining the Effects of Healthy Banking Indicators in Determining the Asset-Liability Management (ALM) Strategy by Focusing on Capital Adequacy Ratio (CAR) Index
Mohammad Hossein Setayesh Mohammad Hossein Fatheh

The aim of the present study is to examine the impact of healthy banking indicators in determining the asset-liability management (ALM) strategy. In order to achieve this objective, 20 bank branches with specific considerations were studied between 2009 and 2014. Pearso More

The aim of the present study is to examine the impact of healthy banking indicators in determining the asset-liability management (ALM) strategy. In order to achieve this objective, 20 bank branches with specific considerations were studied between 2009 and 2014. Pearson correlation and multivariate regression model were used to analyze the data. The bank size (bank balance and trade volumes) was considered as the asset/liability index, and the indicators of a healthy banking system such as asset quality, management (efficiency), profitability and liquidity were considered as independent variables. The results of this study suggest that indicators of capital adequacy, return on assets and return on capital have a positive and significant impact on asset and liability management. Management (efficiency) and liquidity indexes showed no significant effects. Manuscript profile

Open Access Article

4 - Accrual Quality Assessment Model in Banking Industry
Gholamhossein Assadi Bahador Nayebi

This paper provides a new categorization of balance sheet items for commercial banks by putting them in to financial and operational parts. Results of the study shows that banks with higher net financial assets compared to net operational assets have less incentives for More

This paper provides a new categorization of balance sheet items for commercial banks by putting them in to financial and operational parts. Results of the study shows that banks with higher net financial assets compared to net operational assets have less incentives for earnings management, which results in higher accruals quality. Furthermore, we have studied the role of loan contract types and capital adequacy on accruals quality. The results show that banks with higher share of fixed-income loan contracts and higher capital adequacy ratio have a better quality of accruals. We also found out that banks which give loans to corporations of leading industries, have less earning management actions, which leads to higher accruals quality. Based on this finding, we have developed a future-looking measure of accruals quality for banks focused on industries which banks put higher portion of the loans on and called it Portfolio Quality Index (PQI).     Manuscript profile

Open Access Article

5 - ارزیابی عملکرد و رتبه بندی بانکهای پذیرفته شده در بورس وفرابورس ایران)تکنیک پرامتیمدل غیر جبرانی(
ایمان خسروی پور نگار خسروی پور

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Open Access Article

6 - بررسی ارتباط بین تمرکز مالکیت و رفتار ریسکی بانکها
مینا زینالی امیر محمدزاده

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Open Access Article

7 - Bank and Macroeconomic Variables Efficiency in Risk Management
Mohsen Mehrara Mehdi Mehran far

This study investigates the factors affecting risk management efficiency of banking industry during 2001-2009, taking 15 public and private operating banks in Iran. For this purpose, capital adequacy ratio is considered as risk management efficiency indicator and other More

This study investigates the factors affecting risk management efficiency of banking industry during 2001-2009, taking 15 public and private operating banks in Iran. For this purpose, capital adequacy ratio is considered as risk management efficiency indicator and other determinants are divided into bank specific indicators and macroeconomic variables. Empirical results represent a positive relationship between the liquidity, profitability, operating efficiency, economic growth and capital adequacy ratio while credit risk and inflation rates have a negative effect on capital adequacy ratio as an indicator of risk management efficiency in banks. Manuscript profile

Open Access Article

8 - رابطه بین شاخص های ثبات با کارایی فنی بانک‌های ایران طی سال‌های (1395-1383)
محمود عیسوی فتح اله تاری حبیب انصاری سامانی حسن عموزاد خلیلی

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9 - The optimal capital adequacy ratio in Islamic banks: the study of Iranian banks
محمود عیسوی حبیب انصاری سامانی فتح اله تاری حسن عموزادخلیلی

Regarding the special role of banks in the economic system of countries and the world, there are considerable regulatory and control rules applied to them. With the rise and growth of Islamic banking, various studies and studies have been conducted to analyze the perfor More

Regarding the special role of banks in the economic system of countries and the world, there are considerable regulatory and control rules applied to them. With the rise and growth of Islamic banking, various studies and studies have been conducted to analyze the performance and regulatory mechanisms of this industry. The rules of the Basel 2 agreement are among the most important in the international agreement, which is designed to provide banking security. Among the issues raised in this agreement, the observance of minimum capital adequacy has received much research attention. Given the inherent differences and constraints facing Islamic banks in Iran, Basel Committee's capital ratios may not necessarily be appropriate for this banking system. Then, by modeling its impact on bank profitability as the most important motivational index of banks, its optimal value for the Iranian banking system is determined. The results show that the designed model is well able to explain the relationship between capital adequacy and profit efficiency and the optimal capital adequacy ratio for optimizing bank profit efficiency was estimated at 12.5%.In the same way that healthy and efficient banks can be effective in economic growth, their unhealthy and poor performance can also lead to financial and economic crises. The WFTC has been reviewing and proposing capital requirements since 1988 and, most importantly, observing the minimum capital adequacy of banks. Calculation of capital adequacy requires consideration of capital and risk weighted assets. Due to the significant difference between the methods of financing and the use of funds and the type of contracts and payloads in the Islamic bank with the conventional bank, it is necessary to calculate and determine the minimum capital adequacy for an Islamic bank after identifying and classifying various types of assets, liabilities and capital And the amount of risk associated with each of them, taking into account its specific financial features. Therefore, this research intends to assess the suitability of a set of the most important indicators of banking healthy indicators, namely, capital ratios. To this end, the ratio of capital ratios (tire1+tire2) to risk weighted assets with technical efficiency of Islamic banks of Iran is reviewed. After calculating the technical efficiency index of banks by CCR and BCC, eight panel data regression models for the period 2003-2015 were estimated for 21 banks and more than 190 statistical samples. The results show that all four capital indicators have a positive and significant effect on the technical efficiency of the banks. However, tire1 capital to total assets ratio is the best explanatory variable among capital ratios for banking performance. Manuscript profile

Open Access Article

10 - Investigating the Eeffects of Factors on Capital Adequacy Ratio in the Islamic Banking System of Iran and Malaysia
پریما بهرامی زنوز آزاده محرابیان رویا سیفی پور نارسیس امین رشتی

Capital adequacy ratio is one of the most important indicators in analyzing the situation of banks in order to manage banks against risks such as bankruptcy and their inability to meet obligations. This controls the risk management of banks. Therefore, the present study More

Capital adequacy ratio is one of the most important indicators in analyzing the situation of banks in order to manage banks against risks such as bankruptcy and their inability to meet obligations. This controls the risk management of banks. Therefore, the present study, investigates the effect of banking variables on the capital adequacy ratio in private banks in Iran during the period 1397-1390 and in Malaysia during the period 2012-2019 by the generalized moment method (GMM). The results show that in the Iranian banking system, credit risk and return on assets have a direct effect on bank size, financial leverage and liquidity have a negative effect on the capital adequacy ratio. In the Malaysian banking system, financial leverage, liquidity ratio and credit risk have a positive effect and the share of deposits and return on assets has a negative effect on the health index. The difference in the effectiveness of variables is due to different methods of financing the banking system and maintaining the vision of investment projects. Manuscript profile

Open Access Article

11 - الزامات وجود بیمه سپرده و ارتباط آن با مقاومت بانکی
حسین امیری مونا توفیقی

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Open Access Article

12 - مقایسه عملکرد بانک های دولتی و خصوصی
زینب بزاز حسین خنیفر رضا تهرانی محمدجواد محقق نیا

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Open Access Article

13 - Effect of Financial Health Indicators as Symbols of Bank Financial Crisis Using Logit Model Multivariate (A Case Study of Banks Accepted in Exchange)
alireza atefifar zadollah fathi

The purpose of this study was to investigate the effectiveness of financial health indicators as indicators of banking financial crisis by applying multivariate logit models (case study of banks accepted in the stock exchange). For this purpose, among the banks accepted More

The purpose of this study was to investigate the effectiveness of financial health indicators as indicators of banking financial crisis by applying multivariate logit models (case study of banks accepted in the stock exchange). For this purpose, among the banks accepted in the exchange, 9 banks were selected for sample. This research is a correlation research and the methodology of the present research is post-event type. A combination of two methods of field and library was used for collecting data. We used logistic regression to analyze the findings. We also used the fuzzy technique for the AHP technique to prioritize the main criteria. According to the findings of the research, according to the choice of the Enter method for data entry, based on the sig statistic, the 4 variable variables (LQ4, LQ1, CA1 and LQ2) were significant. Based on the results of the Logit model, only four financial ratios among the ratios of Kaml introduced in the correct ranking of the banks studied are based on Camel's combined value. Also, according to Delphi technique, the quality of management with the normal weight of 0.221 is the highest priority. The asset quality with a normal weight of 0.104 in the second priority, a confidence with a normal weight of 0.085 in the third priority, capital adequacy with a normal weight of 0.075 in the fourth priority and profitability with The normal weight of 0.070 was in the top priority. Manuscript profile

Open Access Article

14 - The role of operational risk events database in bank risk management
Samane Shafiee Mohammad Hamed Khan Mohammadi Ahmad Karami Majid Ghoroghi

10.30495/afi.2023.1971825.1168

Purpose: In order to manage operational risks as one of the most important risks of the banking system, it is important to create a comprehensive database of operational risk events. Therefore, the aim of the current research is to investigate the requirements and frame More

Purpose: In order to manage operational risks as one of the most important risks of the banking system, it is important to create a comprehensive database of operational risk events. Therefore, the aim of the current research is to investigate the requirements and framework of creating such a database in order to prevent the occurrence of future harmful events and, as a result, manage operational risks.Methodology: First, the operational risk framework and the general definition of each of the blocks of the framework including internal and external loss data, risk self-assessment and control, scenario analysis and key risk indicators were presented. Then, the internal loss data was further investigated, and the legal requirements regarding the necessity of creating a comprehensive database of risk events to calculate the capital required to cover the operational risk were raised.Findings: Database of operational risk events in order to meet the bank's risk management goals, it should have certain characteristics such as comprehensiveness, threshold, type of event at two levels, the amount of gross loss of the event, indirect costs, amount savings, profit, opportunity cost, Be close to losses, accounting adjustments, date, cause and description, business lines, currency type and border risk. Also in any organization, business sector He is responsible for the risks associated with his activities. After aggregation, the mentioned risks are reported to the bank's board of directors for decision making.Originality / Value: Creating a comprehensive database of operational risk events in banks, while recognizing these events and adopting appropriate strategies to prevent these events from occurring in the future, leads to the accurate calculation of the amount required to cover operational risks and achieve capital adequacy goals. It is desired by the central bank. Manuscript profile

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