Ali Asghar Shahriari, Saeed Daei- Karimzadeh, R. Behmanesh
The nature of business and investment activities is such that earning a return requires risk tolerance. Choosing a stock portfolio is a difficult and difficult task that the investor sees in the face of the many and varied choices that she must choose as one of the best methods. The present study deals with the problem of stock portfolio optimization according to the Value at Risk based intelligent fireworks algorithm and compares it with Particle Swarm Optimization algorithm with the historical simulation method using MATLAB software. The parameters of meta-heuristic algorithms were adjusted by Taguchi method using MINITAB software. Not suspended, used. For reliability of the study, generalized Dickey-Fuller test and PhillipsProne test were used. To evaluate the accuracy of the Conditional Value at Risk model, the kupiec proportion of failure test, Christoffersen independence test and Conditional coverage test are used. A comparison was also made between the models by Lopez test. The execution time of the Particle Swarm Optimization was less than that of the fireworks algorithm at all three levels of confidence, but the convergence speed of the fireworks algorithm was faster than that of the Particle Swarm Optimization at all levels. Findings showed that the Value at Risk model using the fireworks algorithm, despite the longer execution time due to better convergence speed and higher rank of Lopez test has a more appropriate validity for stock portfolio optimization.
{"title":"Stock portfolio optimization in fireworks algorithm using risk value and comparison with Particle Swarm Optimization (PSO)","authors":"Ali Asghar Shahriari, Saeed Daei- Karimzadeh, R. Behmanesh","doi":"10.52547/jfmp.11.35.9","DOIUrl":"https://doi.org/10.52547/jfmp.11.35.9","url":null,"abstract":"The nature of business and investment activities is such that earning a return requires risk tolerance. Choosing a stock portfolio is a difficult and difficult task that the investor sees in the face of the many and varied choices that she must choose as one of the best methods. The present study deals with the problem of stock portfolio optimization according to the Value at Risk based intelligent fireworks algorithm and compares it with Particle Swarm Optimization algorithm with the historical simulation method using MATLAB software. The parameters of meta-heuristic algorithms were adjusted by Taguchi method using MINITAB software. Not suspended, used. For reliability of the study, generalized Dickey-Fuller test and PhillipsProne test were used. To evaluate the accuracy of the Conditional Value at Risk model, the kupiec proportion of failure test, Christoffersen independence test and Conditional coverage test are used. A comparison was also made between the models by Lopez test. The execution time of the Particle Swarm Optimization was less than that of the fireworks algorithm at all three levels of confidence, but the convergence speed of the fireworks algorithm was faster than that of the Particle Swarm Optimization at all levels. Findings showed that the Value at Risk model using the fireworks algorithm, despite the longer execution time due to better convergence speed and higher rank of Lopez test has a more appropriate validity for stock portfolio optimization.","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"156 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132370238","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
F. Valizadeh, Amir Mohamadzadeh, M. Seighali, M. Torabian
T he purpose of this study is to provide a model for predicting the factors affecting the stock price Crash Risk in the Tehran Stock Exchange. In addition to a comprehensive review of the thematic literature related to the stock price crash risk, in the qualitative section, 12 people through theoretical sampling method, selected among capital market experts and then by collecting the required data by means of document reference and interview tools to extract the factors affecting the risk of stock price crash risk using MAXQDA18 software and to extract the model from the structural equation model and PLS software has been used. Statistical population in the quantitative part, a sample of 100 companies was selected from the companies listed in the Tehran Stock Exchange between 2009 and 2019. The results show , it is possible to provide a model to predict the factors affecting the stock price crash risk and respectively social responsibility in the first priority, business strategies in the second priority, macroeconomic variables in the third priority, managerial ability in the fourth priority, political communication in the fifth priority, variables Financial in the sixth priority and information asymmetry in the seventh priority affect the stock price crash risk.
{"title":"Presentation the Model for Predicting the Factors Affecting Stock Price Crash Risk in the Tehran Stock Exchange","authors":"F. Valizadeh, Amir Mohamadzadeh, M. Seighali, M. Torabian","doi":"10.52547/jfmp.11.33.217","DOIUrl":"https://doi.org/10.52547/jfmp.11.33.217","url":null,"abstract":"T he purpose of this study is to provide a model for predicting the factors affecting the stock price Crash Risk in the Tehran Stock Exchange. In addition to a comprehensive review of the thematic literature related to the stock price crash risk, in the qualitative section, 12 people through theoretical sampling method, selected among capital market experts and then by collecting the required data by means of document reference and interview tools to extract the factors affecting the risk of stock price crash risk using MAXQDA18 software and to extract the model from the structural equation model and PLS software has been used. Statistical population in the quantitative part, a sample of 100 companies was selected from the companies listed in the Tehran Stock Exchange between 2009 and 2019. The results show , it is possible to provide a model to predict the factors affecting the stock price crash risk and respectively social responsibility in the first priority, business strategies in the second priority, macroeconomic variables in the third priority, managerial ability in the fourth priority, political communication in the fifth priority, variables Financial in the sixth priority and information asymmetry in the seventh priority affect the stock price crash risk.","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"155 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130599391","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Computation of Financial Inclusion Composite Index in Iran","authors":"Hamed Hamedinia, Behrang Asadi","doi":"10.52547/jfmp.11.33.193","DOIUrl":"https://doi.org/10.52547/jfmp.11.33.193","url":null,"abstract":"","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123768898","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The current financial literature examines business cycles based on a retrospective approach and emphasizes the rational assumption of humans in evaluating managerial confidence models. the main purpose of the study is to design an index that describes the collective belief of managers towards the economic sectors and represents the economic sentiments and managerial confidence of managers of companies listed on the Tehran Stock Exchange. The present study includes qualitative and quantitative steps. With a deep search of library resources and with the method of theme analysis, the basic themes that explain confidence are compiled. Then, according to the Delphi method, these topics were assigned to capital market and academic elites for assessment. During the three-step process, the theoretical consensus on the indicators used in the questionnaire was confirmed. In a quantitative step, the confirmatory factor analysis method was used to evaluate the questionnaire's validity. Tests obtained from factor analysis showed that it is appropriate to describe the variables by the hidden variable. And the factor structure of the questionnaire can be verified. Applying the combined index to describe the company's managers' managerial confidence and economic sentiments listed on the Tehran Stock Exchange gets the necessary competence. In addition, analysts, investors, and regulators can use it to determine the attitude of business towards the future of the economy.
{"title":"Managerial confidence and Economic sentiments Index design for listed company's managers of Tehran Stock Exchange","authors":"S. J. Tabatabaei","doi":"10.52547/jfmp.11.33.245","DOIUrl":"https://doi.org/10.52547/jfmp.11.33.245","url":null,"abstract":"The current financial literature examines business cycles based on a retrospective approach and emphasizes the rational assumption of humans in evaluating managerial confidence models. the main purpose of the study is to design an index that describes the collective belief of managers towards the economic sectors and represents the economic sentiments and managerial confidence of managers of companies listed on the Tehran Stock Exchange. The present study includes qualitative and quantitative steps. With a deep search of library resources and with the method of theme analysis, the basic themes that explain confidence are compiled. Then, according to the Delphi method, these topics were assigned to capital market and academic elites for assessment. During the three-step process, the theoretical consensus on the indicators used in the questionnaire was confirmed. In a quantitative step, the confirmatory factor analysis method was used to evaluate the questionnaire's validity. Tests obtained from factor analysis showed that it is appropriate to describe the variables by the hidden variable. And the factor structure of the questionnaire can be verified. Applying the combined index to describe the company's managers' managerial confidence and economic sentiments listed on the Tehran Stock Exchange gets the necessary competence. In addition, analysts, investors, and regulators can use it to determine the attitude of business towards the future of the economy.","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"423 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126712863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Farhad Azadi, M. Ghanbari, Babak Jamshidi Navid, Javad Masodi
The purpose of this study is to optimize the Bayesian profit management model with tunneling phenomenon and cumulative particle motion optimization algorithm. The statistical population of the study included companies listed in the Tehran Stock Exchange and the number of companies under study, including 196 companies listed during the years 2015 to 2020. The research method is descriptive-correlational and in terms of causal-correlational variables and in terms of purpose and event, it is post-event. In order to analyze the data, regression and artificial neural network and cumulative particle motion optimization algorithm were used. The results of the model analysis showed that all financial ratios had a significant effect on the earnings management prediction of insight and the greatest impact on the prediction of earnings management was on the INE tunneling phenomenon and the least on financial leverage. The results of the estimation of the designed neural networks show that the use of cumulative particle optimization algorithm to predict the Profit management for companies listed in Tehran Stock Exchange is acceptable .
{"title":"Presenting the developed model of Benish by using tunneling phenomena based on artificial neural network technique and particle swarm optimization algorithm to identifying profit manipulating companies","authors":"Farhad Azadi, M. Ghanbari, Babak Jamshidi Navid, Javad Masodi","doi":"10.52547/jfmp.11.33.139","DOIUrl":"https://doi.org/10.52547/jfmp.11.33.139","url":null,"abstract":"The purpose of this study is to optimize the Bayesian profit management model with tunneling phenomenon and cumulative particle motion optimization algorithm. The statistical population of the study included companies listed in the Tehran Stock Exchange and the number of companies under study, including 196 companies listed during the years 2015 to 2020. The research method is descriptive-correlational and in terms of causal-correlational variables and in terms of purpose and event, it is post-event. In order to analyze the data, regression and artificial neural network and cumulative particle motion optimization algorithm were used. The results of the model analysis showed that all financial ratios had a significant effect on the earnings management prediction of insight and the greatest impact on the prediction of earnings management was on the INE tunneling phenomenon and the least on financial leverage. The results of the estimation of the designed neural networks show that the use of cumulative particle optimization algorithm to predict the Profit management for companies listed in Tehran Stock Exchange is acceptable .","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126807710","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Stock investing decisions require information which Obtain through valuation models. Therefore, the purpose of this study is to compare the accuracy of the Dividend Discount Model, the Discounted Cash Flow Model, the Residual Earnings Model and the Abnormal Earnings Growth Model in explaining the stock price changes of listed companies in Tehran Stock Exchange during 2012-2018 (Iranian calendar 1391-1397). Target sample consists of 105 companies listed in Tehran stock exchange. Collected data were analyzed using T-test method. The results show that in the Tehran Stock Exchange the intrinsic values estimated by the Dividend Discounted and the discounted cash flow model have the highest correlation with the market value of the stocks. These results also indicate that in the Tehran Stock Exchange These results show that cash dividends and cash flows were used more than any other information as a criterion for buying and selling stocks.
{"title":"Comparative Investigating of Stock Valuation Discount Models in Companies Listed in Tehran Stock Exchange","authors":"M. Arabsalehi, Alireza Kamali Dehkordi","doi":"10.52547/jfmp.11.33.113","DOIUrl":"https://doi.org/10.52547/jfmp.11.33.113","url":null,"abstract":"Stock investing decisions require information which Obtain through valuation models. Therefore, the purpose of this study is to compare the accuracy of the Dividend Discount Model, the Discounted Cash Flow Model, the Residual Earnings Model and the Abnormal Earnings Growth Model in explaining the stock price changes of listed companies in Tehran Stock Exchange during 2012-2018 (Iranian calendar 1391-1397). Target sample consists of 105 companies listed in Tehran stock exchange. Collected data were analyzed using T-test method. The results show that in the Tehran Stock Exchange the intrinsic values estimated by the Dividend Discounted and the discounted cash flow model have the highest correlation with the market value of the stocks. These results also indicate that in the Tehran Stock Exchange These results show that cash dividends and cash flows were used more than any other information as a criterion for buying and selling stocks.","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115846849","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Mohammad Ali Dehghan Dehnavi, M. Botshekan, M. Salimi, Meisam Bagheri Kopaei
Regarding the importance of the stock market and commodity indexes as a predictive index, in this study, the effect of selected global commodity indices on the index of metal ores in the Tehran Stock Exchange has been investigated. Using the monthly state data from April 25 th , 2012 to January 20 th , 2020, the impact of the index of Bloomberg industrial metals, and the index of Nasdaq industrial metals on the index of metal ores extraction in Tehran stock exchange were studied by ARDL method. To investigate the existence of the long-term relationship, a bound testing was used. In order to control the effects of liquidity, consumer’s inflation, producer’s inflation, and the exchange rate in the unofficial market on independent and dependent variables, these variables were used as control variables in the model. The results show that the global commodity indexes of CRB without energy, Bloomberg industrial metals index, and Nasdaq industrial metals index have a positive and meaningful relationship with the index of metal ores extraction in the Tehran stock exchange Among the above two indexes, the Nasdaq industrial metals index was more influential on the metal ores extraction index than the Bloomberg industrial metals index.
{"title":"Survey the Impact of Selected Global Commodity Indexes on Metal Ore Mining Index of Tehran Stock Exchange","authors":"Mohammad Ali Dehghan Dehnavi, M. Botshekan, M. Salimi, Meisam Bagheri Kopaei","doi":"10.52547/jfmp.11.33.85","DOIUrl":"https://doi.org/10.52547/jfmp.11.33.85","url":null,"abstract":"Regarding the importance of the stock market and commodity indexes as a predictive index, in this study, the effect of selected global commodity indices on the index of metal ores in the Tehran Stock Exchange has been investigated. Using the monthly state data from April 25 th , 2012 to January 20 th , 2020, the impact of the index of Bloomberg industrial metals, and the index of Nasdaq industrial metals on the index of metal ores extraction in Tehran stock exchange were studied by ARDL method. To investigate the existence of the long-term relationship, a bound testing was used. In order to control the effects of liquidity, consumer’s inflation, producer’s inflation, and the exchange rate in the unofficial market on independent and dependent variables, these variables were used as control variables in the model. The results show that the global commodity indexes of CRB without energy, Bloomberg industrial metals index, and Nasdaq industrial metals index have a positive and meaningful relationship with the index of metal ores extraction in the Tehran stock exchange Among the above two indexes, the Nasdaq industrial metals index was more influential on the metal ores extraction index than the Bloomberg industrial metals index.","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114419664","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
1 In this study, the effect of fundamental variables and size on stock return is considered. The aim of the study is to answer two questions about each variable. The first question is how the effects of variables on the return have changed through time. In order to answer this question, the effect of each variable is considered in three consequential time windows: 2004-08, 2009-13, and 2014-18. The second question is on the effects of variables in 2018. The return of the market in this year significantly deviated from the historical average and it could be marked as an anomaly. The study aims to investigate how this irregularity affects the association between return and variables. In order to answer this question, the effect of each variable is considered in two different time windows: 2004-17, 2004-18. The data in this study consists of price and financial statements of listed companies on the Tehran Stock Exchange from 2004 to 2018 which are analyzed by methods used in Fama and French (1993) and Assadi and Eslami (2014). The results suggest that the effect of some variables has changed over time. The results also have shown that market irregularity in 2018 significantly changed the effect of some variables on stock return.
{"title":"Investigating the change in the effect of fundamental variables on return in Tehran Stock Exchange","authors":"Gholamhossein Asadi, Hossein Abdoh Tabrizi, Mostafa Nemati","doi":"10.52547/jfmp.11.33.57","DOIUrl":"https://doi.org/10.52547/jfmp.11.33.57","url":null,"abstract":"1 In this study, the effect of fundamental variables and size on stock return is considered. The aim of the study is to answer two questions about each variable. The first question is how the effects of variables on the return have changed through time. In order to answer this question, the effect of each variable is considered in three consequential time windows: 2004-08, 2009-13, and 2014-18. The second question is on the effects of variables in 2018. The return of the market in this year significantly deviated from the historical average and it could be marked as an anomaly. The study aims to investigate how this irregularity affects the association between return and variables. In order to answer this question, the effect of each variable is considered in two different time windows: 2004-17, 2004-18. The data in this study consists of price and financial statements of listed companies on the Tehran Stock Exchange from 2004 to 2018 which are analyzed by methods used in Fama and French (1993) and Assadi and Eslami (2014). The results suggest that the effect of some variables has changed over time. The results also have shown that market irregularity in 2018 significantly changed the effect of some variables on stock return.","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121706972","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Ezatolah Abbasian, R. Tehrani, Mojtaba Pakdin Amiri
the model is investigated. Among the companies listed on the Tehran Stock Exchange, the number of statistical samples in the years under review (2016-2017) includes 1408 companies / year. According to the purpose of this research and the performed test, the result of the present research shows; In the three-factor model test, the effect of market factor and size is significant and the effect of value factor is not significant. Also, in the findings of the test of the three-factor adjustment model and considering the market leverage, the results indicate that the effect of market factors, value, size is significant. In both tests, the effect of market factor is significant and direct and the effect of size factor is significant and inverse. Also, the research results show that the value of the adjusted coefficient of determination in the modified three-factor model is more than the initial model and the addition of market leverage will improve the explanatory power of the model.
{"title":"Market Leverage Effect in Fama Frech Model","authors":"Ezatolah Abbasian, R. Tehrani, Mojtaba Pakdin Amiri","doi":"10.52547/jfmp.11.33.9","DOIUrl":"https://doi.org/10.52547/jfmp.11.33.9","url":null,"abstract":"the model is investigated. Among the companies listed on the Tehran Stock Exchange, the number of statistical samples in the years under review (2016-2017) includes 1408 companies / year. According to the purpose of this research and the performed test, the result of the present research shows; In the three-factor model test, the effect of market factor and size is significant and the effect of value factor is not significant. Also, in the findings of the test of the three-factor adjustment model and considering the market leverage, the results indicate that the effect of market factors, value, size is significant. In both tests, the effect of market factor is significant and direct and the effect of size factor is significant and inverse. Also, the research results show that the value of the adjusted coefficient of determination in the modified three-factor model is more than the initial model and the addition of market leverage will improve the explanatory power of the model.","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"114 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123322061","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
H. Farsijani, M. Arefnezhad, Somayeh Asadi, Ali Hasanvand
The experiences of recent decades in financial markets, and in particular the banks of different countries, indicate an increase in the importance of risk management in financial activities. Therefore, international efforts are aimed at creating a framework for standards that can be achieved by improving the financial health of the institution, especially banks. The axis of these standards has been manifested in creating an integrated risk management framework in the context of corporate risk management. The main purpose of the present research is to design a structural model of the types of existing risks in the banking sector. By studying thematic literature and using the textual content analysis approach, eleven effective risks were identified and for localization of them in the country's banking sector, Delphi technique was used for three periods of use It turned out The statistical population of the study consisted of managers and experts familiar with the subject and working in the banking sector. A researcher-made questionnaire was used to collect data. The reliability and validity of the questionnaire was confirmed by calculating Kendall's correlation coefficient (0.82) and Goghos and Boucher's correlation coefficient (0.08, 0.06), respectively. In order to design a structural model of risk, an interpretive structural modeling approach was used in fuzzy environment to manage linguistic ambiguity in judgments. The results of the Mick-Mac modeling and analysis showed that liquidity, credit, operational, interest rate, exchange rate risk and risk of laws and regulations are key and basic risks in the banking sector.
{"title":"Presentation of the structural model of risk types in banks using the Fuzzy Interpretative Structural Modeling Approach","authors":"H. Farsijani, M. Arefnezhad, Somayeh Asadi, Ali Hasanvand","doi":"10.52547/jfmp.11.33.173","DOIUrl":"https://doi.org/10.52547/jfmp.11.33.173","url":null,"abstract":"The experiences of recent decades in financial markets, and in particular the banks of different countries, indicate an increase in the importance of risk management in financial activities. Therefore, international efforts are aimed at creating a framework for standards that can be achieved by improving the financial health of the institution, especially banks. The axis of these standards has been manifested in creating an integrated risk management framework in the context of corporate risk management. The main purpose of the present research is to design a structural model of the types of existing risks in the banking sector. By studying thematic literature and using the textual content analysis approach, eleven effective risks were identified and for localization of them in the country's banking sector, Delphi technique was used for three periods of use It turned out The statistical population of the study consisted of managers and experts familiar with the subject and working in the banking sector. A researcher-made questionnaire was used to collect data. The reliability and validity of the questionnaire was confirmed by calculating Kendall's correlation coefficient (0.82) and Goghos and Boucher's correlation coefficient (0.08, 0.06), respectively. In order to design a structural model of risk, an interpretive structural modeling approach was used in fuzzy environment to manage linguistic ambiguity in judgments. The results of the Mick-Mac modeling and analysis showed that liquidity, credit, operational, interest rate, exchange rate risk and risk of laws and regulations are key and basic risks in the banking sector.","PeriodicalId":121903,"journal":{"name":"Journal of Financial Managment Perspective","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122341317","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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