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آزمون بحران ریسک نقدینگی در نظام بانکی ایران: محاسبه توزیع زیان ریسک نقدینگی بانکها با روش شبیه سازی مونت کارلو | ||
اقتصاد باثبات | ||
مقاله 1، دوره 3، شماره 2 - شماره پیاپی 7، تیر 1401، صفحه 1-35 اصل مقاله (1.07 M) | ||
نوع مقاله: پژوهشی | ||
شناسه دیجیتال (DOI): 10.22111/sedj.2022.43038.1220 | ||
نویسندگان | ||
لیلا خودکاری* 1؛ رضا طالبلو2؛ پریسا مهاجری3؛ تیمور محمدی4 | ||
1دانشجوی دکتری ،گروه اقتصاد، دانشکده اقتصاد دانشگاه علامه طباطبائی، تهران، ایران. | ||
2دانشیار دانشکده اقتصاد ،گروه اقتصاد، دانشکده اقتصاد دانشگاه علامه طباطبائی، تهران، ایران. | ||
3دانشیار گروه اقتصاد، دانشکده اقتصاد، دانشگاه علامه طباطبائی؛ تهران، ایران. | ||
4استاد گروه اقتصاد، دانشکده اقتصاد، دانشگاه علامه طباطبائی؛ تهران، ایران. | ||
چکیده | ||
در سالهای اخیر یکی از روشهای مدیریت مؤثر ریسک در نهادهای مالی به خصوص بانکها، آزمون بحران است. مطالعات اخیر نشان میدهد که شرایط اقتصادی علت شکلگیری بحرانهای مالی و همچنین بروز ریسک نقدینگی در نظام بانکی است. در این مقاله با استفاده از آمار 18 بانک و متغیرهای کلان اقتصادی در 54 دوره فصلی از ابتدای سال 1387 تا اواسط 1400، به بررسی آزمون بحران ریسک نقدینگی بانکها در شرایط بحران و شوک اقتصادی پرداخته که شامل دو مرحله است؛ در مرحله اول مدل پایه رگرسیون پانل پویا الگوسازی شده و در مرحله بعد با رویکرد سناریوسازی، میزان تأثیر شوک متغیرهای کلان بر ریسک نقدینگی بانکها بررسی میگردد. در ادامه، با استفاده از تکنیک شبیهسازی مونت کارلو و با محاسبه ارزش در معرض خطر ریسک نقدینگی، زیان ریسک نقدینگی بانکها در مواجهه با شوکها به دست آمده است. نتایج حاصل از آزمون بحران نشان میدهد، شوک نرخ ارز بیشترین تاثیر را در میان شوک متغیرهای کلان اقتصادی بر ریسک نقدینگی بانکها دارد. بنابراین با مدنظر قرار دادن عوامل موثر بر شوکها، نه تنها میتوان بحرانهای مالی را کنترل کرد بلکه این موضوع میتواند پیش درآمدی بر توانمندسازی بانکها قبل از وقوع هر نوع شوکی در شرایط کلان اقتصادی باشد. | ||
کلیدواژهها | ||
آزمون بحران؛ ریسک نقدینگی؛ ارزش در معرض خطر؛ شبیهسازی؛ سناریو | ||
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