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

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Hemmati Asiabaraki Mahdi; GHOLIZADEH MOHAMMADHASAN; Mirbargkar Seyed Mozafar

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:42 Page(s): 446-463

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Title

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

Author(s)

Hemmati Asiabaraki Mahdi | GHOLIZADEH MOHAMMADHASAN | Mirbargkar Seyed Mozafar | Issue Writer Certificate

Keywords

Asset Relation RiskQ1

Asset-Liability ManagementQ1

Vector Error Correction ModelQ1

Granger causalityQ1

Abstract

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.

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APA: Copy

Hemmati Asiabaraki, Mahdi, GHOLIZADEH, MOHAMMADHASAN, & Mirbargkar, Seyed Mozafar. (2020). Developing Asset Correlation Risk Model (ACR) with Asset-Liability Management (ALM) Approach with using of VECM model. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(42 ), 446-463. SID. https://sid.ir/paper/371843/en

Vancouver: Copy

Hemmati Asiabaraki Mahdi, GHOLIZADEH MOHAMMADHASAN, Mirbargkar Seyed Mozafar. Developing Asset Correlation Risk Model (ACR) with Asset-Liability Management (ALM) Approach with using of VECM model. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(42 ):446-463. Available from: https://sid.ir/paper/371843/en

IEEE: Copy

Mahdi Hemmati Asiabaraki, MOHAMMADHASAN GHOLIZADEH, and Seyed Mozafar Mirbargkar, “Developing Asset Correlation Risk Model (ACR) with Asset-Liability Management (ALM) Approach with using of VECM model,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 42 , pp. 446–463, 2020, [Online]. Available: https://sid.ir/paper/371843/en

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