جلال سیف الدینی

In economies where banks play a key role in aggregating savings and allocating credit to various sectors, it is crucial to evaluate the performance of the banking system using appropriate methods. This research paper presents a model for evaluating the efficiency of commercial banks listed in the Tehran Stock Exchange during the period from 2015 to 2020, with a focus on the impact of credit risk. The study employs a two-step descriptive-correlation retrospective method to rank the banks and explain the role of credit risk in their efficiency. Specifically, the efficiency of the banks is determined using inputs and outputs based on DEA (Data Envelopment Analysis) models. The calculation of efficiency using ideal SBM (Slacks-Based Measure) and DEA methods reveals that Mellat, Saderat, and Tejaret banks were the most efficient during the study period. Furthermore, Tobit and logistic regression models are used to investigate the relationship between the main determinants of credit risk and the efficiency of commercial banks. The findings indicate a statistically significant relationship between the two factors. Overall, this paper highlights the importance of evaluating the efficiency of the banking system in bank-oriented economies and provides a useful model for doing so. The research paper highlights the significant impact of credit risk on bank efficiency, emphasizing its role in shaping effective risk management strategies within the banking sector. It suggests that banks should prioritize these factors to enhance their operational efficiency.

Studying stock options is still a pristine area of research in the Iranian capital market. This is due to the lack of data as well as the complexity of valuation methodologies. In the present paper, using the Monte-Carlo simulation, we have estimated the value of stock options traded on Tehran Stock Exchange and examined whether the use of a control variate or antithetic variate augmented methods can lower the standard error of estimates. Furthermore, the estimated values of the three models under consideration, including crude Monte-Carlo, control variates augmented Monte-Carlo, and antithetic variates augmented Monte-Carlo are compared with each other and with options market prices. The results show that the standard error of the antithetic variate method is less than the crude method and control variate method. However, the control variate augmented Monte-Carlo model is more powerful than the crude Monte-Carlo and antithetic variate augmented Monte-Carlo method. Therefore, we can conclude that the control variate augmented Monte-Carlo model has a better performance in estimating the value of trading stock options and its estimated values are closer to the market prices.

Noise is essential for the existence of a liquid market, and if noise traders are not present in the market, the trade volume will drop severely and an important aspect of the market philosophy will be lost. However, these noise traders bring noise to the market, and the existence of noise in prices indicates a temporary deviation in prices from their fundamental values. In particular, high-frequency prices carry a significant amount of noise that is not eliminated by averaging. If the level of noise in stock prices remains high for a period of time, it can be identified as a risk factor because it indicates that the deviation from fundamental values has been sustained. In this paper, after estimating the microstructure noise in high-frequency prices through a modified parametric approach, using a portfolio switching method, we compared the performance of portfolios having a high level of noise with the performance of portfolios having a lower level of noise and concluded that the risk of the high noise level presents itself as a risk premium in the future return and that asset pricing models which capture the systematic risks cannot capture the noise risk in prices. Keywords: Microstructure noise; High frequency data; Quasi-maximum Likelihood Estimation (QMLE); Portfolio switching. JEL Classification: C13, G11, G12