مطالب مرتبط با کلیدواژه

Financial Stability


۱.

Financial Stability and Early Warning Systems: Lessons for I.R. of Iran(مقاله علمی وزارت علوم)

نویسنده:

کلیدواژه‌ها: Early Warning Systems Financial Stability Signal Extraction Approach Leading Indicators

حوزه های تخصصی:
تعداد بازدید : ۱۰۶۹ تعداد دانلود : ۴۸۸
The main purpose of this paper is to overview early warning systems, discussing their importance and relevance for current situations of Iran’s financial system and economy. An early warning system generates ex-ante warnings of potential problems that may emerge or develop in the future on account of the current risk profile of a financial institution. Although there are various approaches to model warning and prediction of financial and economic risks, the signal extraction approach is the most popular one and gained more attention than any other approaches by financial institutions and policy makers. This approach is explained in detail. The paper will also analyze importance and relevance of early warning systems for Iran’s financial system and economy. Pointing out to some leading indicators, the paper suggests that Iranian authorities and in particular economic policy makers need to develop and design an appropriate early warning system to be able to avoid future financial and economic crises or at least take necessary measures to reduce their negative impacts
۲.

Modeling and Rating Financial Soundness Indicators of Commercial Banks Using Confirmatory Factor Analysis and TOPSIS method(مقاله علمی وزارت علوم)

کلیدواژه‌ها: Financial Soundness Financial Stability Banking Industry Islamic Banking TOPSIS

حوزه های تخصصی:
تعداد بازدید : ۳۳۸ تعداد دانلود : ۲۸۷
Several financial soundness frameworks, such as CAMELS, are currently present in the banking industry, but some evidence suggests that the present frameworks have inefficiencies in an Islamic banking environment. This study is aimed at identifying and prioritizing the adjusted financial soundness indicators in Iranian banks. In this paper, the factors affecting financial soundness in banking industry were investigated and rated based on the viewpoints of 382 banking experts. Data gathering is done by designing a questionnaire. The research method is descriptive-correlation. For data analysis and the testing of the hypotheses, R-test software and confirmatory factor analysis have been used. TOPSIS method is used to rate the indicators from the points of view of senior banking managers. The findings showed capital adequacy, asset quality, profitability, liquidity, management quality, sensitivity to market risk, Islamic banking, corporate governance, and facilities with technical and economic backing affect the financial soundness of banks, while the liquidity and profitability indexes have the most impact.
۳.

An Investigation of Co-Movement of Financial Stability Index with Macro-Prudential Indicator through Wavelet Analysis(مقاله علمی وزارت علوم)

کلیدواژه‌ها: Financial Economics Financial Stability Micro/Macro-Prudential Policies Principal Component Analysis Wavelet

حوزه های تخصصی:
تعداد بازدید : ۳۲۱ تعداد دانلود : ۲۵۷
The present study aims at developing an aggregate financial stability index by using banking sector indices to assess financial stability and examine if the variable of credit-to-GDP gap corresponds to its long-term trend which represents the macro-prudential indicator has co-movement with the built financial stability index? To this end, monthly banking balance sheet data were collected from the Central Bank of the Islamic Republic of Iran from March 2007 to March 2017. Co-movement of two time series was assessed at two dimensions of time and frequency through wavelet analysis. It can be observed that there is a greater relationship between the two variables at short-term and medium-term. In the short-term, there is a negative correlation between financial stability and the representative of the macro-prudential variable. The increase of the credit-to-GDP gap results in a decrease in financial stability while these variables are positively correlated at medium-term. An increase in the credit-to-GDP gap increases financial stability, whereas such a relationship cannot be observed for the long-term. Thus, it seems necessary to adopt a macro-prudential policy more at medium term.
۴.

The Impact of Shadow Banking on the Financial Stability: Evidence from G20 Countries(مقاله علمی وزارت علوم)

کلیدواژه‌ها: Shadow Banking Financial Stability quantile regression G20

حوزه های تخصصی:
تعداد بازدید : ۹۴۱ تعداد دانلود : ۵۰۹
Shadow banking is a term that came out of the financial crisis of 2007-2009. There is a belief that shadow banking was one of the crisis reasons. Because the excessive expansion of shadow banking endangers the financial stability of countries, this paper examines the impact of shadow banking on financial stability using data from 14 countries of the G20 during 2002-2018. We divided countries into four groups according to the level of shadow banking activity; then, we employed the quantile regression method. The results indicated that shadow banking hurts financial stability (positive impact on financial instability) in countries with a high shadow banking index (fourth group countries). One unit of increase in the shadow banking index increases financial instability in the fourth group countries (high shadow banking) by 1.6 units. But in countries where shadow banking is not very strong (other three groups), shadow banking does not significantly affect financial stability.
۵.

Can Securitization Enhance Financial Stability? (Case of the I.R. of Iran)(مقاله علمی وزارت علوم)

کلیدواژه‌ها: Securitization Financial Stability Banking network

حوزه های تخصصی:
تعداد بازدید : ۳۸۵ تعداد دانلود : ۱۷۹
As a mechanism to enhance financial system stability and a process that allows banks to change their role from traditional lenders to originators and distributors of loans, securitization reduces the dependence on customer deposits. Also, it expands lending capacity, manages banks credit risk, and transforms illiquid assets into saleable securities. In this research, GMM method in three formats is used for the 16 selected Iranian banks. Results show that real sector growth positively and significantly increase financial stability in the Iranian economy. This is because of the economic scale augmentation and its impact on creating new financial resources. Meanwhile, the non-performing loans ratio significantly diminishes banking stability as well as it lowers banks' capacity to generate revenues from intermediary activities. Moreover, return is affected by the inflationary conditions which heightens revenue making and equity factors in banks' balance sheets. In order to generate higher revenues and gain upper profits, banking resources are occasionally withdrawn to enter other financial markets. Loans to deposits ratio, representing the credit risk in banking systems, denotes that higher risk in credit areas exacerbates financial stability due to the higher probability of risk appetite in generating loans to the general public. Also, security size highlights that although it is expected that securitization augments the financial stability in the banking system, other indicators would also be influential on financial stability. In other words, the higher the security size, the bigger its impact on banking stability. Furthermore, Lending capacity augments as a result of risk management and transforming illiquid assets into saleable securities.
۶.

Informational and Analytical Systems for Forecasting the Indicators of Financial Security of the Banking System of Ukraine(مقاله علمی وزارت علوم)

کلیدواژه‌ها: Financial security Information–Analytical System banking system Banking Security Forecast Models Financial Stability State

حوزه های تخصصی:
تعداد بازدید : ۸۰ تعداد دانلود : ۷۹
The article is devoted to the modern development of high technologies and computer technology greatly enhanced the development of automated banking systems of banking sector organizations and allowed the synthesis of information and communication technologies for their formation. The main purpose of the article is to select the main indicators for assessing the level of financial security of the banking system of the state and identify promising areas of its development using forecasting models. In the process of research such analytical functions have been used: polynomial, exponential, power and logarithmic. The authors believe that the information and analytical provision of the financial security of the bank is an information provision that combines, on the one hand, information work, that is, ways, means and methods of collecting the necessary information, and on the other - analytical work, which includes forms and methods of information analysis and processing, which ensures an objective assessment of the situation and the adoption of a balanced management decision. As a result, forecast models were built for each of the indicators and also, it has been found that most indicators of the banking system of Ukraine in 2021-2023 will remain at “unsatisfactory” and “critical” levels. In conclusions it was proposed to introduce measures that would be aimed at improving the reliability and stability of the banking system of Ukraine.
۷.

Stress-Testing Technologies of Financial Stability of Financial Corporations: Aspect of Insurance Companies(مقاله علمی وزارت علوم)

کلیدواژه‌ها: insurance company risk Financial Stability Stress Testing technologies Insurance Rates Reinsurance

حوزه های تخصصی:
تعداد بازدید : ۷۳ تعداد دانلود : ۷۸
The purpose of the article is to perform stress-testing technologies of the financial stability of an insurance company based on the constructed mathematical model of the insurance company's activity, which would meet the established requirements (adequate reproduction of the main parameters of the insurance company's functioning; taking into account the stochastic nature of insurance processes; flexible management of model parameters describing company's behaviour; the ability to influence the intensity of flows; suitability for algorithmization and construction of computational simulation model. The relevance of this study is due to the need to address the problem of changes and complications, the growing variety of strategies and products implemented by insurance companies. There is a need for innovative methods to assess and monitor the vulnerability of these institutions to various types of risks. One of these methods, which is gaining widespread recognition both among regulators and financial corporations, is stress testing. It has been established that stress testing as a risk management tool is used both to assess the insurance company's readiness for a crisis situation, and to develop a plan of adequate measures to counteract and eliminate its negative impact. The development and application of the proposed mathematical and simulation model of stress testing of the financial stability of the insurance company allows to solve issues of ensuring sufficiency of capital level, control of financial stability and solvency, reliability of efficiency of activities, taking into account the probabilistic nature of insurance activities, various typical insurance risks and time horizons.