نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشجوی دکترا، گروه حسابداری، واحد کرمانشاه، دانشگاه آزاد اسلامی، کرمانشاه، ایران
2 گروه گروه حسابداری، واحد کرمانشاه، دانشگاه آزاد اسلامی، کرمانشاه، ایران
3 استادیار، گروه حسابداری، واحد کرمانشاه، دانشگاه آزاد اسلامی، کرمانشاه، ایران
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
ABSTRACT
The primary objective of this study was to identify and develop the factors influencing Value at Risk (VaR) and liquidity risk within the banking sector.
In terms of objective, this research is classified as applied, and in terms of nature, it is a qualitative study utilizing a l exploratory approach. The statistical population consists of risk management experts, managers, and specialists in the fields of banking, finance, and economics across Iranian public and private banks, academic institutions, and financial consulting firms. Purposive and snowball sampling techniques were employed to identify and select key informants and subject matter experts. Using qualitative methodologies—specifically semi-structured interviews and focus groups—four primary themes were extracted: (1) Concepts and Applications of Value at Risk, (2) Data and Liquidity Modeling, (3) Computational Methods, and (4) Challenges and Recommendations. The findings revealed that critical factors such as data quality (e.g., cash flows, maturities, and liquid reserves), computational techniques (particularly Monte Carlo simulation), and regulatory and infrastructural hurdles play a pivotal role in the application of VaR for liquidity risk assessment.
By providing a comprehensive and practical model, the findings of this research not only contribute to the existing literature on liquidity risk management in the Iranian banking system but also offer actionable solutions for improving risk management practices by integrating localized conditions with international standards. This model can serve as a foundational framework for future policy-making and supplementary academic research in this domain.
کلیدواژهها [English]
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