چارچوب مدیریت ریسک نقدینگی صندوق های سرمایه گذاری مشترک (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
اهداف: امکان بازخرید واحد های سرمایه گذاری صادرشده از سوی صندوق یک ویژگی شاخص صندوق های سرمایه گذاری مشترک با سرمایه باز است که این صندوق ها را در معرض ریسک نقدینگی قرار می دهد. چالش اصلی مدیریت نقدینگی این صندوق ها، تأمین وجه نقد هنگام بروز بحران و مواجهه با تقاضاهای بازخرید بیش از انتظار است. در چنین شرایطی ممکن است صندوق قادر به فروش دارایی ها با سرعت کافی بدون تجربه ارائه تخفیف های زیاد نباشد. تحت فشار قرارگرفتن صندوق برای تأمین مالی و فروش دارایی ها تأثیر منفی بر قیمت دارایی های صندوق های مشابه در بازار خواهد داشت که با بروز مارپیچ تنزلی قیمت در این دارایی ها به هجوم به سایر صندوق ها با دارایی های مشابه منجر می شود و تأثیری منفی بر کل بازار می گذارد؛ بنابراین مدیریت یکپارچه ریسک نقدینگی امری حیاتی برای این صندوق ها و کل سیستم مالی است. هدف پژوهش حاضر، دستیابی به چارچوبی منسجم در حوزه نظارت و مدیریت ریسک نقدینگی صندوق های سرمایه گذاری مشترک با سرمایه باز استروش: برای این منظوراین پژوهش با استفاده از راهبرد پژوهشی نظریه پردازی داده بنیاد، با پشت سر گذاشتن مراحل مختلف کدگذاری و راهبرد دلفی در استفاده از نظر نخبگان چارچوبی، برای نظارت بر مدیریت ریسک نقدینگی شامل خط مشی ها، زیرساخت ها و روش ها ارائه می کند.نتایج: خط مشی و سیاست ها، زیرساخت ها و روش های مناسب به عنوان سه مقوله اصلی این چارچوب شناخته می شوند. در این پژوهش برای هر مؤلفه با مطالعه رهنمودهای بین المللی، قوانین نظارتی در اروپا و آمریکا و نظرخواهی از خبرگان، کدهای بااهمیت احصا شده است.Liquidity Risk Management Framework of Mutual Funds
The possibility of repurchasing the investment units issued by the fund is a distinctive feature of open-end mutual funds, which exposes these funds to liquidity risk. The main challenge of liquidity management of these funds is providing cash during a crisis and also facing more than expected redemption demands. In such a situation, the fund may not be able to sell assets quickly enough without the experience of offering high discounts. Being pressured to finance and sell assets will have an adverse effect on the price of the fund's assets and similar assets in the market, which can lead to a downward spiral at the price of these assets, leading to the invasion of other funds with similar assets and having an adverse effect on the whole market. Therefore, integrated liquidity risk management is vital for these funds and the entire financial system. The current research aimed to achieve a coherent framework in the field of monitoring and managing the liquidity risk of open-end mutual funds. For this purpose, grounded theory was used through various coding stages. In addition, the Delphi strategy was used for the elites’ opinions, and finally, a framework for monitoring liquidity risk management, including policies, infrastructures, and methods, was presented.Keywords: Mutual Funds, Liquidity Risk Management, Liquidity Risk Management Tools. IntroductionThe law has given investors the option to redeem their investment units at a price equivalent to the Net Asset Value (NAV) of each unit from the fund at any time in open-end mutual funds (Zeng, 2017; Zhao, 2016). In case of encountering special circumstances of redemption requests more than expected, the fund will face a liquidity problem if it tries to fulfill the redemption obligations with the help of its cash and daily net cash flows or by selling part of the assets at a fair price while maintaining the minimum level of diversification and if the portfolio does not have liquidity. In such special circumstances and with the absence of liquidity management tools, the fund will be forced to sell assets with high liquidity or a discount below the expected inherent price.In addition to creating problems for the fund, such as reducing portfolio diversification and asset concentration, as well as the remaining portfolio's liquidity and each unit's net value, it can lead to encouraging other investors to rush into the fund and buy back their investment units. Rushing to the fund and being pressured by the fund to finance and sell assets will have an adverse effect on the price of the fund's assets and similar assets in the market, which can lead to a downward spiral at the price of these assets, thus resulting in an influx to other funds with similar assets and an adverse effect on the entire market. The crisis in the industry of investment funds can even involve a systemic risk (IMF, 2015).The high growth of mutual investment funds in Iran necessitates a study to formulate a comprehensive framework for the liquidity risk management of these funds. This framework should include the essential elements of the management system, such as policy-making, organization, decision-making processes, methods, and tools to face this risk. It can have the possibility to be developed and put under the foundation of the development of regulatory laws. Therefore, the main question of the current research was: What the framework for monitoring liquidity risk management of mutual funds in Iran should be according to the characteristics of Iran's capital market? Materials and MethodsTo present and confirm the monitoring framework of liquidity risk management of mutual investment funds in Iran, the data methods of grounded theory and Delphi were used as follows.First, by using the method of library research of documents published by international organizations and supervisory bodies of different countries and the conducted research, the reports related to monitoring liquidity risk management were collected and then, the reports were extracted by using the grounded theory approach. The data were coded in 3 stages and the main concepts, components, and categories of liquidity risk management monitoring were extracted.After extracting the components and categories, the framework was prepared. To design the conceptual framework of the comprehensive monitoring model for liquidity risk management, the experts were consulted in two stages. In the first stage, the results of the library study were presented to the experts and they were asked to determine their opinions on each statement by using the Likert scale. The responses collected from each expert at this stage were coded and aggregated by the researcher through the grounded theory and prepared in the form of a final framework.In the second stage, the composite model obtained from the first stage was again presented to the experts and they were asked to confirm the categories and components identified in the previous stage. In this way, a comprehensive framework for monitoring liquidity risk management, including its categories and components, was developed. Research FindingsBy studying different sources, 84 propositions related to the research topic were obtained. After the propositions were confirmed by the experts, the propositions obtained from the previous stage were revised line by line and 35 codes (concepts) related to monitoring of liquidity risk management based on the research question were extracted. Nine liquidity risk management monitoring components were obtained by grouping and integrating the concepts with semantic convergence. Then, the common features of the components emerging from the previous stages were placed in more general and narrower forms of 3 main categories according to their commonalities. These categories included policies, infrastructures, and methods and tools. Finally, the conceptual framework, including 3 categories, 9 components, and 35 codes, was explained. Discussion of Results and ConclusionsConsidering the importance of the liquidity risk of open-end mutual funds for the investors and financial system and the necessity of designing and developing a comprehensive framework to monitor the management of the liquidity risk of this industry, the current research investigated the categories, components, and codes of a comprehensive framework for monitoring liquidity risk management of open-end mutual funds.Policies, infrastructure, and appropriate methods were known as the 3 main categories of this framework. The policies as a written map had a fundamental and decisive role in determining and providing a suitable infrastructure, while the suitable constructions provided the possibility of using suitable methods to manage the liquidity risk of open-end funds. Each category had its own components. In this research, important codes were obtained for each component. Using these codes can help the funds manage their liquidity risk and the supervisory body by formulating principles and guidelines for the industry and monitoring the liquidity risk to protect the investors, asset management industry, and capital market of Iran.
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