ﺗﻮﺳﻌﻪ ﻣﺪل رﯾﺴﮏ ﻫﻤﺒﺴﺘﮕﯽ داراﯾﯽ ﻫﺎ(ACR) ﺑﺎ روﯾﮑﺮد ﻣﺪﯾﺮﯾﺖ داراﯾﯽ-ﺑﺪﻫﯽ (ALM) ﺑﺎ اﺳﺘﻔﺎده از ﻣﺪل VECM

Developing Asset Correlation Risk Model (ACR) with Asset- Liability Management (ALM) Approach with using of VECM model

ﺑﺎﻧﮏﻫﺎ ﺑﻪ ﻋﻨﻮان اﻫﺮمﻫﺎﯾﯽ در ﺳﯿﺎﺳﺖﻫﺎي ﮐﻼن اﻗﺘﺼﺎدي از ﻃﺮﯾﻖ ﺗﻨﻈﯿﻢ و ﺗﻌﺪﯾﻞ ﻧﺮخ ﺳﻮد ﺑﺎﻧﮑﯽ، ﺳﯿﺎﺳﺖﻫﺎي ﭘﻮﻟﯽ را ﺑﻪ اﺟﺮا درآورده و ﺗﻮرم و ﺑﯿﮑﺎري ﮐﻪ ﯾﮑﯽ از ﻣﻬﻢﺗﺮﯾﻦ اﻫﺪاف ﮐﻼن اﻗﺘﺼﺎدي ﻣﯽﺑﺎﺷﺪ را ﮐﻨﺘﺮل ﻣﯽﻧﻤﺎﯾﺪ. ﯾﮑﯽ از اﯾﻦ اﺑﺰارﻫﺎ ﻣﺪﯾﺮﯾﺖ داراﯾﯽ- ﺑﺪﻫﯽ ﻣﯽﺑﺎﺷﺪ. از اﯾﻨﺮو ﻫﺪف از اﻧﺠﺎم اﯾﻦ ﺗﺤﻘﯿﻖ ﺗﻮﺳﻌﻪ ﻣﺪل رﯾﺴﮏ ﻫﻤﺒﺴﺘﮕﯽ داراﯾﯽﻫﺎ)ACR( ﺑﺎ روﯾﮑﺮد ﻣﺪﯾﺮﯾﺖ داراﯾﯽ-ﺑﺪﻫﯽ)ALM( ﻣﯽﺑﺎﺷﺪ. اﯾﻦ ﺗﺤﻘﯿﻖ از ﻟﺤﺎظ ﻣﺎﻫﯿﺖ از ﻧﻮع ﺗﻮﺻﯿﻔﯽ و از ﻟﺤﺎظ ﻫﺪف ﮐﺎرﺑﺮدي اﺳﺖ. ﺟﺎﻣﻌﻪ آﻣﺎري ﺗﺤﻘﯿﻖ، ﺷﺮﮐﺖﻫﺎي ﭘﺬﯾﺮﻓﺘﻪ ﺷﺪه در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان و ﻧﻤﻮﻧﻪ ﻣﻮرد ﻧﻈﺮ ﺑﺎﻧﮏﻫﺎي ﭘﺬﯾﺮﻓﺘﻪ ﺷﺪه در اﯾﻦ ﻣﺠﻤﻮﻋﻪ ﻫﺴﺘﻨﺪ ﮐﻪ دادهﻫﺎي ﻣﻮرد ﻧﯿﺎز ﺗﺤﻘﯿﻖ از آنﻫﺎ ﻗﺎﺑﻞ اﺳﺘﺨﺮاج اﺳﺖ. دوره زﻣﺎﻧﯽ ﺗﺤﻘﯿﻖ، از ﺳﺎل 1391 ﺗﺎ ﺳﺎل 1396 ﻣﯽﺑﺎﺷﺪ ﮐﻪ ﺗﻌﺪاد 20 ﺑﺎﻧﮏ ﺑﻪ ﻋﻨﻮان ﻧﻤﻮﻧﻪﻫﺎي ﺗﺤﻘﯿﻖ اﻧﺘﺨﺎب ﮔﺮدﯾﺪ. اﯾﻦ ﺗﺤﻘﯿﻖ داراي ﻣﺪﻟﯽ ﻧﻈﺮي اﺳﺖ و ﺑﺮاي آزﻣﻮن ﻓﺮﺿﯿﻪﻫﺎ از ﻣﺪل ﺗﺼﺤﯿﺢ ﺧﻄﺎي ﺑﺮداري اﺳﺘﻔﺎده ﮔﺮدﯾﺪ. ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ آﻣﺎره t و ﺟﻬﺖ ﺿﺮﯾﺐ ﺗﺨﻤﯿﻦ اﻟﮕﻮي VECM آن ﻣﺸﺨﺺ ﻣﯽﺷﻮد اﺛﺮ اﺳﺘﻔﺎده از روﯾﮑﺮد ﻣﺪﯾﺮﯾﺖداراﯾﯽ-ﺑﺪﻫﯽ ﺑﺮ رﯾﺴﮏ ﻫﻤﺒﺴﺘﮕﯽ داراﯾﯽ در ﺗﻌﺎدل ﺑﻠﻨﺪﻣﺪت ﮐﺎﻫﺸﯽ ﻣﯽﺑﺎﺷﺪ.

Banks, as levers in macroeconomic policies, by regulating and adjusting the bank's interest rates, enforce monetary policies and controls inflation and unemployment, which is one of the most important macroeconomic goals. One of these tools is asset-debt management. Therefore, the purpose of this research is to develop the Asset Correlation Risk Model (ACR) with the Asset- Liability Management approach (ALM). This research is descriptive in nature and in terms of its purpose. The statistical population of the research is the companies accepted in the Tehran Stock Exchange and the sample of the banks accepted in this collection, which can be extracted from the research data. The research period is from 1391 to 1396, with 20 banks selected as research samples. This research has a theoretical model and a vector error correction model was used to test the hypotheses. According to the t-statistic and the coefficient of estimation of the VECM model, it is determined that the effect of using the debt-asset management approach on the asset-liability correlation risk in a long-term equilibrium is decreasing.