ارائه روشی جدید برای محاسبۀ ضریبریسک بازار مدل توانگری مالی صنعت بیمۀ ایران: رویکرد ARDL-GARCH
Publish place: Journal of Insurance Reserch، Vol: 34، Issue: 3
Publish Year: 1398
نوع سند: مقاله ژورنالی
زبان: Persian
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استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
JR_JIRC-34-3_001
تاریخ نمایه سازی: 18 آذر 1399
Abstract:
Objective: The main purpose of this paper was to present a more efficient method for measuring the insurance market risk of insurance companies in the model of solvency protocol No. 69 of the Supreme Council of Insurance. The market risk factors of the solvency model address two main issues: firstly, the various methods of calculating these factors and their efficiency have not been properly evaluated and secondly, these factors are for normal conditions and in calculating them, the economic shocks effects are not considered to extract volatility under stress conditions. Methodology: We propose a new method that combines two models of Autoregressive Distributed Lags (ARDL) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH). Using the statistical data of Tehran Stock Exchange Index (TEPIX), Economic Growth, Inflation Rate and Exchange Rate in the period of 1999 to 2017 and using the Value at Risk measure (VaR), we modeled the investment market risk in stocks. Three simple variance-covariance methods, AR-GARCH and ARDL-EGARCH models were used. Finally, using the Kupiec back testing, the ARDL-EGARCH model was selected as the best model Findings: Using the method presented in this paper, the risk factor estimation of the market risk of solvency model is more efficient than the other methods Conclusions: Using the introduced model, the risk factor of investing in the stock market of financial corporations is 39% under normal economic conditions and 86.4% in crisis and stress conditions. JEL Classification: G17, G22, G32.
Keywords:
Authors
رضا جعفری
دکتری مدیریت مالی، گروه مدیریت بازرگانی، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبایی (نویسنده مسئول)
نادر مظلومی
دانشیار، دکتری مدیریت، گروه مدیریت بازرگانی، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبایی
امیر صفری
دکتری اقتصاد مالی، اداره نظارت بر بیمه های زندگی، بیمه مرکزی ج.ا.ا