اندازه گيري ريسك نقدينگي بانك با استفاده از مدل ارزش در معرض خطر(مطالعه موردي: بانك سامان)

To Measure Bank Liquidity risks With Value at Risk (VaR) model (Case Study: Saman Bank)

Liquidity Management means that Bank enable to pass financial assurance along time. Liquidity Management appears in different levels. Liquidity Management needs to finding the risks are around it variation of environmental variable. Liquidity risk is a scale for controlling and managing that role a tool for manager. In this thesis focus on liquidity risk of Saman bank as a case study. This applied research evaluating liquidity risk in Saman bank by method Value at risk between years 1381 to 1386. In this research financial reports of bank was been analyzed and the liquidity risk of Saman bank was calculated with value at risk method in research time duration. In research hypothesis claimed that the Liquidity risk of Saman bank had a decreasing trend in research time duration. Hypothesis of research was been tested by Cox regression. In parallel analysis, the simple regression model was been fitted. Result of tow methods indicate that the trend of liquidity risk was decreasing in research time duration.