Measuring the risk of an Iranian banking system using Value at Risk (VaR) Model

• Main Authors: Sudabeh Morshedian Rafiee, Zahra Houshmand Neghabi, Ali Feizollahei
• Format: Article
• Language: English
• Published: Growing Science 2012-10-01
• Series: Management Science Letters
• Subjects: Market Risk; Foreign currency liquidity; Value at Risk; Historical simulation; Linear regression
• Online Access: http://www.growingscience.com/msl/Vol2/msl_2012_213.pdf
• ISSN: 1923-9335; 1923-9343

Measuring risk of financial institutes and banks plays an important role on managing them. Recent financial turmoil in United States banking system has motivated banking industry to monitor risk factors more closely. In this paper, we present an empirical study to measure the risk of some private banks in Iran called Bank Mellat using Value at Risk (VaR) method. The proposed study collects the necessary information for the fiscal year of 2010 and analyses them using regression analysis. The study divides the financial data into two groups where the financial data of the first half of year is considered in the first group and the remaining information for the second half of year 2010 is considered in the second group. The implementation of VaR method indicates that financial risks increase during the time horizon. The study also uses linear regression method where independent variable is time, dependent variable is the financial risk, and the results confirm what we have found in the previous part of the survey.