
تعداد نشریات | 21 |
تعداد شمارهها | 660 |
تعداد مقالات | 9,659 |
تعداد مشاهده مقاله | 68,747,241 |
تعداد دریافت فایل اصل مقاله | 48,253,901 |
Presenting a continuous risk monitoring model in the banking field based on structural equations | ||
International Journal of Nonlinear Analysis and Applications | ||
مقالات آماده انتشار، اصلاح شده برای چاپ، انتشار آنلاین از تاریخ 23 مهر 1404 اصل مقاله (2.7 M) | ||
نوع مقاله: Research Paper | ||
شناسه دیجیتال (DOI): 10.22075/ijnaa.2023.30799.4497 | ||
نویسندگان | ||
Soroosh Shanaki Bavarsad1؛ Saeed Nasiri* 1؛ Ahmed Kaab Omair1؛ Allah Karam Salehi2 | ||
1Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran | ||
2Department of Accounting, Masjed Soleyman Branch, Islamic Azad University, Masjed Soleyman, Iran | ||
تاریخ دریافت: 11 اردیبهشت 1402، تاریخ پذیرش: 17 خرداد 1402 | ||
چکیده | ||
The purpose of this research is to present a continuous risk monitoring model in the banking sector utilising structural equations. It is a type of behavioural research, specifically exploring the interplay between analytical data concerning banking risks and the behaviour patterns of internal auditors. Smart PLS software was used for analysis. Employees working in all banks and credit, and financial institutions of the private and public sectors have been considered as the statistical population research. A questionnaire, focusing on risk aspects in the banking industry, was developed in collaboration with ten experts. The most important assessment criterion used to evaluate the structural model is the coefficient of determination. which shows the amount of prediction of the model. A model is suitable when it predicts the indicators of latent endogenous variables. The general model includes both the measurement and structural model parts, and by confirming its fit, the fit check in a model is complete. The results of the research indicate that there is a positive and significant relationship between market risk and its components (stock risk, exchange rate risk, and securities risk). Similarly, there is a positive and significant relationship between credit risk and its components (centralised facility risk and facility applicant risk. While market and credit risks are well-recognised, operational risk is still unclear for managers. Unlike market and credit risks that exist in specific areas of business, operational risk is a part of all business processes. Additionally, there is a positive and significant relationship between the liquidity risk and its components (the risk of not performing the crisis test, non-commitment of liquidity coverage and other risks). | ||
کلیدواژهها | ||
Continuous monitoring؛ banking field؛ structural equations | ||
مراجع | ||
[1] A. Abadi and M. Ahangarani, Evaluating factors affecting on liquidity risk of banks listed at Tehran stock exchange, Int. J. Manag. Human. Sci. 3 (2014), no. 4, 1707-1718. [2] V. Acharya and H. Naqvi, The seeds of a crisis: A theory of bank liquidity and risk taking over the business cycle, J. Financ. Econ. 106 (2012), no. 2, 349-366. [3] J. Bessis, Risk Management in Banking, John Wiley & Sons, 2011. [4] E.C. Brechmann, K. Hendrich, and C. Czado, Conditional copula simulation for systemic risk stress testing, Insurance: Math. Econ. 53 (2013), no. 3, 722-732. [5] A. Buhn and K. Klauck, Stresstests-Einfuhrung und grundlagen, Stresstests in Banken: Von Basel II bis ICAAP, Schaffer-Poeschel Verlag, Stuttgart, 2006, pp. 11-22. [6] P.-L. Chang, C.-W. Hsu, and P.-C. Chang, Fuzzy Delphi method for evaluating hydrogen production technologies, Int. J. Hydrogen Energy 36 (2011), no. 21, 14172-14179. [7] M.S. Da Silva and J.A. Divino, The role of banking regulation in an economy under credit risk and liquidity shock, North Amer. J. Econ. Finance 26 (2013), 266-281. [8] N. Djebali, Assessing the determinants of banking stability in the MENA region: what role for economic and financial freedom?, J. Bank. Regul. 25 (2024), no. 2, 127-144. [9] N. Djebali and K. Zaghdoudi, Threshold effects of liquidity risk and credit risk on bank stability in the MENA region, J. Policy Model. 42 (2020), no. 5, 1049-1063. [10] M.A. Elgari, Credit risk in Islamic banking and finance, Islamic Econ. Stud. 10 (2003), no. 2. [11] N. Heydarzadeh Aghdam, S. Shahvardiani, and B. Tabrizian, Presenting a risk management model in digital banking-a rational approach, Sci. Res. Quart. Invest. Knowledge 10 (2022), no. 37, 79-94. [12] B. Imbierowicz and C. Rauch, The relationship between liquidity risk and credit risk in banks, J. Bank. Finance 40 (2014), 242-256. [13] M.S. Khan, H. Scheule and E. Wu, Funding liquidity and bank risk taking, J. Bank. Finance 82 (2017), 203-216. [14] L. Khodkari, R. Talebloo, P. Mohajeri, and T. Mohammadi, Liquidity risk crisis test in Iran's banking system: Calculation of loss distribution of banks' liquidity risk with Monte Carlo simulation method, Econ. Quart. 3 (2022), no. 2, 1-35. [15] A.J. McNeil and R. Frey, Estimation of tail-related risk measures for heteroscedastic financial time series: An extreme value approach, J. Empir. Finance 7 (2000), no. 3-4, 271-300. [16] M. Moun, Stress-testing financial systems: An overview of current methodologies, BIS Work. Papers (2016), no. 165. [17] J. Oduor, M.M. Sichei, S.K. Tiriongo, and C. Shimba, Segmentation and efficiency of the interbank market and their implication for the conduct of monetary policy, Afr. Dev. Bank Group Work. Paper Ser. 202 (2014). [18] M. Pendar and R. Veysi, Analyzing types of risk in the interest-free banking system (combined method of Dimtel and interpretive structural modeling), Financ. Econ. Quart. 14 (2019), no. 51, 29-54. [19] R.W. Pollay and B. Mittal, Here's the beef: factors, determinants, and segments in consumer criticism of advertising, J. Market. 57 (1993), no. 3, 99-114. [20] N.K. Pope and K.E. Voges, The impact of sport sponsorship activities, corporate image, and prior use on consumer purchase intention, Sport Market. Quart. 9 (2000), no. 2. [21] D.Y. Pyun, J. Han, and J.H. Ha, Attitudes and effectiveness toward/of virtual advertising on major league Baseball, Ann. Conf. Sport Market. Assoc., Memphis, TN. 2004. [22] L.W. Ronald, Kleppner's Advertising Procedure, Pearson Education India, 2008. [23] M. Sadeghi Shabhani, H. Tavakoli, and A. Salehi Shahrabi, Investigating systemic risk in the banking industry of Tehran Stock Exchange: Graph theory and ARMA-girGARCH-DCCt approach, Riyal Sci. J. Econ. Stud. Policies 30 (2022), no. 101, 307-355. [24] M. Safiullah and A. Shamsuddin, Risk in Islamic banking and corporate governance, Pacific-Basin Finance J. 47 (2018), 129-149. [25] J. Shekarkhah, M. Morshedzadeh, and M. Ghorbani, Thought Leadership in Comprehensive Risk Management: A Collection of Kozo Statements, Termeh Publications, 2015. [In Persian] [26] R.M. Stolz, Risk-taking and risk management by banks, J. Appl. Corp. Finance 27 (2015), no. 1. [27] D.M. Turco, The effects of courtside advertising on product recognition and attitude change, Sport Market. Quart. 5 (1996), 11-16. [28] L.G. Warner and M.L. DeFleur, Attitude as an interactional concept: Social constraint and social distance as intervening variables between attitudes and action, Amer. Sociol. Rev. 34 (1969), no. 2, 153-169. [29] S.G. West, J.F. Finch, and P.J. Curran, Structural equation models with nonnormal variables: Problems and remedies, R.H. Hoyle (Ed.), Structural equation modeling: Concepts, issues, and applications, Sage Publications, Inc. 1995. [30] A.W. Wicker, Attitudes versus actions: The relationship of verbal and overt behavioral responses to attitude objects, J. Soc. Issues 25 (1969), no. 4, 41-78. [31] E.Y. Yeyati and A. Micco, Concentration and foreign penetration in Latin American banking sectors: Impact on competition and risk, J. Bank. Finance 31 (2007), no. 6, 1633-1647. [32] E. Zanot, Public attitudes toward advertising, Adver. New Age: Amer. Acad. Adver. Proc., Provo, 32 (1981). [33] P. Zhang, The effects of animation on information seeking performance on the World Wide Web: Securing attention or interfering with primary tasks?, J. Assoc. Inf. Syst. 1 (2000), no. 1, 1 | ||
آمار تعداد مشاهده مقاله: 4 تعداد دریافت فایل اصل مقاله: 3 |