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All economic firms are exposed to risks. There are a wide variety of risks in financial institutions. Identification, measurement and management of these risks are one of the main responsibilities of senior management in these institutions. Credit risk, market risk and operational risk are among the most important risks in financial institutions such as banks. This paper attempts to explore the operational risk. The contribution of this work is to underline the significance of operational risks, their identification and explaining the different methods for their measurement in financial institutions especially in the banking system.

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Regarding the nature of its activities, accompany with higher profitability, banks encounter large amount of risk. Among the variety of risk, credit risk is very important so it is inevitable that bank activities will accompany with risks. As an enterprise, having accurate information about ability of borrowers in paying back of their loans is the most important function and vital task in a bank. In this regard this research calculates the efficiency of 75 companies which have borrowed from BANK- E- Keshavarzi in 1380 by using Data Envelopment Analysis and it ranks them based on this procedure. It concludes, 15 companies stand on the border of efficiency. Being average technical efficiency about 78%, it shows that the mentioned companies have used the inputs of production about 22% beyond their needs, so their activities have low profitability. According to this result, BANK- E- Keshavarzi could rank his companies in regard to different levels of risk.

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Housing economy is one of the new branches of economics. During recent years, for reasons: development of housing market, intense fluctuations in amount of demand and supply for this good and so direct and indirect influences of housing sector upon other economy sectors led to need for accurate and suitable programming for take a decision about future investment policies in housing sector.This study want to make a mathematical model in order to enter risk conditions, uncertainity and recent fluctuations in demand and supply sector of housing . so this study want to introduce optimum modeling to investors and managers in order to feasibility and determination of investment priority for future investments and preparation of investment comprehensive map in housing sector of Iran. This study consider aims of the research in three scenarios (pessimistic, optimism and uncertainity), so this study done upon the whole of provinces and in the period of (1377-1387).The results are composed of investment index, priority rank and share of each province of the total investment in housing sectors. Furthermore the final result indicated that regarding risk and uncertainity conditions and market fluctuations, current model of investment in housing sector is not optimum and need for adjustment in quantities and percents of investment.

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Mutual funds, as financial instrument, are growing in importance in the Iranian financial market. This paper examines the risk-adjusted performance of 40 Iranian mutual funds in the course of 2010, using the traditional stand-alone performance measures: Jensen’s alpha, Sharp, Sortino and Treynor ratios, along with a nonparametric frontier model. The results indicate that the risk-adjusted performance measures produce extremely different results, regarding size, performance indices and ranking of mutual funds comparing the results of the models in which the risk is absent.

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Investors invest in variety of markets with different time viewpoints. They aim to find the best investment opportunities among the various markets. This study surveys about various available markets in Iran. Then, the average of returns, performances and finally correlations between these markets will be studied in the short-term (three months), medium-term (one year) and long-term (five years) periods. The populations of present study are securities, land and housing, gold coins, currency (US dollar) and bonds markets. The results of this study indicate that there is a little difference between the average returns of different markets in the short and medium terms period and bonds have better performance during short and medium terms period while they have very low risk. But in long-term period land and housing are the best among markets, either in average of returns or performance. The lowest average of return and the worst performance in all terms belonged to the US dollar

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Shareholders wealth maximization is the main purpose of the businesses. In order to have maximum profit with minimal risk, Investors consider a lot of parameters. Nowadays it has been recognized that the profit itself could not be the proper criterion in evaluation of function and stock value the businesses. Economic value added is known as one of the best indicators of performance evaluation in measuring the value of financial assets. In the meantime, systematic risk as the uncontrolled risk which affects profitability and value of the business plays an important role in the investment decisions. In the present paper we try to study the effects of systematic risk on economic value added end the relationship between them in Iran. In order to provide empirical evidence about the impact of systemic risk on the economic value added, Market return, stock return and financial information of 136 companies which are listed in Tehran Stock Exchange during (2000-2011) have been studied. The Research hypotheses were tested by both static and dynamic panel data approach. The results of dynamic panel data approach showed that there is a reverse and negative relationship between systematic risk and economic value added of companies.

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According to the Capital Pricing Model (CAPM), market return is related to risk associated with macroeconomic health of the economy, which in turn affects systematic risk component. This study was aimed at investigating and risk of market return fluctuations as well as the relationship between macroeconomic variables, such as inflation rate, exchange rate, private investment in real estate and total stock market return risk. Monthly data during 2001 to 2009 and GARCH-M model have been used in this study. Results show that inflation rate and housing return rate have negative effects on systematic risk but, risk premium and exchange rate coefficient are not significant

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According to the Capital Pricing Model (CAPM), market return is related to risk associated with macroeconomic health of the economy, which in turn affects systematic risk component. This study investigated the relationship between Systematic risk of market and some macroeconomic variables such as inflation, exchange rate, private investment in real estate. Furthermore the relationship between these macroeconomic variables and Tehran stock market return also has been studied. Monthly data during 2001 to 2009 and GARCH-M model have been used in this study. Results showed that inflation rate and housing return rate have negative effects on systematic risk but, risk premium and exchange rate coefficient are not significant.

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sukukFixed assets burden on the balance sheets of major banks of the country as locked resources and may not be utilized properly. With regard to the compilation of the issuance guideline of lease bonds (Sukuk) in capital market in 2009 and after finalization of this guideline by Central Bank in the early 2012, using this financial instrument, these assets could be changed into the productive banking resources, and exploited in economic plans. Banks have taken preliminary steps to issue lease bonds and have achieved some experiences that could be referred to for decision-making. Also it could help the economy to make appropriate decisions in facilitation of banking finance through changing the fixed assets and real estates of banking system into productive banking resources. The main objective of this research is to investigate the barriers of issuance of lease sukuk in state banks and to present applied solutions. In order to achieve this aim, the researcher has applied descriptive–analytic method and employed comparative comparison, by-laws and the governing law of the Stock–Exchange Organization and the Central Bank of the Islamic Republic of Iran. The results show that despite compilation of the issuing process of lease stock in the Stock- Exchange Organization and Central Bank, due to the structural difficulties such as: lack of specific solution to sell the assets of state banks to intermediary company, absence of related institutions regarding issuance of lease sukuk in guidelines and procedures of Central Bank, non-inclusion of the law regarding development of instruments and new financial instruments on the exemption of taxes and duties in the guideline of the Central Bank, lack of a unified custodian for issuance of lease sukuk and etc, there is no possibility to make use of this efficient instrument within state banks. In this research, enforceable and operational solutions have been given to institutionalize the lease sukuk instrument.

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Portfolio optimization is one of the challenges facing businesses. Different experts with different assumptions for each asset in the portfolio invested in finding the optimal weights are different ways to do this is to design and implement, since one of the major activities of investment funds, the investment company and etc Is portfolio optimization, select the appropriate method of optimization is essential for the company. Due to the limitations of the mean-variance method based on the normal distribution of asset returns. Technique without these limitations, the use of companies and investors are better. On the other hand, if the measure of conditional value at risk (CVaR), in addition to having all the standard features of the Value at Risk (VaR), has more advantages than the criterion value at risk, such as simply computing a more accurate measure of risk, consider taking various possibilities for different scenarios, we also investigate why their currency risk criteria used to conditional value at risk. Based on this research for both gold and copper using weekly data beginning 2002 to end 2013 using Gussian copula Finally, we would like to create an optimal portfolio and establish evaluation it’s. Sharp ratio with sharp ratio of mean-CVaRoptimazation

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In this paper, we investigate short selling prohibition impacts upon the portfolio optimization using mean variance portfolio theory in Tehran Stock Exchange (TSE). Kuhn-Tucker approach is applied for imposing the non-negativity weight constraints which means no short selling. In other words, we impose the non-negativity constraint deduced from the Kuhn-Tucker approach to simulate the no short selling rule in this market. We also apply conditional estimation of the mean and variance of returns (resulted from GARCH model) along with the simple one to understand the effects of weight estimation. Comparing Sharp ratios, we observed that regardless of the psychological characteristics of the investor, short selling prohibition results in risk-free assetholding and higher return (we will be better off without short selling in this market. Holding the risk-free asset is almost the optimal choice in this case). World experience shows that short selling prohibition does not result in price stability in financial crisis. In other hands, short selling, in its common form, does not seem to be an appropriate tool due to newly founded situation of TSE. Henceforth, stock market development seems to be an appropriate policy and short selling can be used in TSE after being tailored with IRAN’s judicial situation.

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Maximization of the economic value of the exploitation of oil and gas resources in economic literature as the target state (as owner of the resource) is known. This goal is achievable when the contract conditions (which regulate the behavior of investors in the exploitation of the reservoir) is also taken into account. In this paper, the dynamically optimal oil production in the one of the Iran's oil fields in the South West with a buyback contract framework is considered as a case study by the use of Bellman equation in Matlab program and with regard to expected price path and interest rate scenario, the results shows that the optimal production path traced by model in comparison to path specified in the contract is different. In addition, Comparison these results and contractual profile to  the expected behavior of international oil companies that is proposed  high production level in early years of reservoir life cycle are consistent. Note that, any changes in the contract parameters would the constant parameter of cost function and minimum production rate condition in the model. According to the  have been that in Status of High expectations of prices, Optimum path specified in the model, there is no reaction to changes in these factors.

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According to researches, oil and gas projects generally and upstream projects of them especially include a lot of complexities and uncertainties, which lead to an increase in the risk of these field investments. Despite, using risk management methods and techniques, with applying hardware and software developments, has become more popular, recent researches have not been able to provide the comprehensive view of oil and gas upstream risks. As respects to the important role of these projects for Iran economy and necessity of mass investments in the oil and gas upstream sector, it is necessary to identify, assess and prioritize the oil and gas upstream risks methodically and structurally. In this study, with using risk break down structure framework based on Project Management Body of Knowledge (PMBOK) and PEST Classification, the oil and gas upstream risks would identify and classify with a documentary method. The study identifies 60 risks and classifies them into four classes, which have been used in next step for prioritizing by TOPSIS technique. The results with prioritizing based on third risk breakdown structure level, show that as well as the diversity of and variety of upstream project’s risks, there are the heterogeneous risks from first and the second risk breakdown structure level. These results emphasize on selecting precise and appropriate tools to the management of risks

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Financial crisis outbreak imposed huge losses on banks and credit Institutions and caused higher liquidity risk on banks and credit institutions or even their bankruptcy. The main feature of these crises is low liquidity reserves of the banks. Recent empirical studies show that the economic conditions are also responsible for the rise of financial crises and liquidity risk in the banking system. In fact, banks’ liquidity risk are affected by economic conditions, alongside banks’ features. This paper tries to investigate the effects of macroeconomic factors on liquidity risk in a regression model using seasonal panel data and dynamic ordinary least squares (DOLS). The dataset includes 14 biggest banks for the duration of 1385q1 to 1392q4. The results show that, as expected, all selected economic and banking factors have significant effects on banks' liquidity risk; and since error correction terms are estimated 21%, it can be interpreted any short-term imbalance would disappear in each season.

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Innovations and deregulations in the banking sector have led to bank’s operation tends to be more complicated and riskier than what it was in the past. This has created some challenges in supervision on banking performance. To overcome these challenges, the supervisors use new methods and instruments which CAMELS rating system is one of them. In this paper, by applying CAMELS, the supervisory rating system is designed for Iranian banking network. For this purpose, the banks’ financial statements are used for the period of 1385-1394. In addition to the supervisory rating for each bank, this paper addresses the most important factors that affect the rating. The results show that the CAMELS rating system can give an accurate and consistent bank rating that is respect to the bank's financial condition and performance. This can identify the risks and risky banks. So it can help to reduce effects of unexpected shocks and improve the resource allocation. According to the results, the central bank should offer some recommendations and tips to control and manage the risks of risky banks. Also, the central bank should decide about restructuring, merging or liquidate of risky banks.
 
 
 

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Financial stability is amongst the issues that have been increasingly considered over the past two decades. Today, money and capital markets play a substantial role in the development of societies, but at the same time, this development will be problematic if it is not accompanied by a program, control, and supervision. The main reason is that, due to the correlation between the real and financial sectors of the economy, macroeconomic shocks can broadly spread to the financial system or spillover from the financial sector to other macroeconomic sectors. The key purpose of this article is to answer two questions. First, whether exchange rate shocks affect Mutual Fund return, while they typically use diversification policies to reduce market risks, second, how much is contagion between different mutual funds, In other words, how much systemic risk Index affects from rate change shocks. we examine the correlation structure of daily net return of the mutual fund portfolios during the period from March 21st, 2011 to December 22nd, 2015, Applying the multivariate GARCH model. The results indicate that coefficients of exchange rate change shocks are significant just only some of the Mutual Funds, while contagion between mutual funds causes direct effects of shocks to Spread among Mutual Funds and increase systemic risk Index among Mutual Funds, and also a potential systemic risk.

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Today, Systemic Risk is being analyzed as one of the major issues in financial institutions. Banks are one of the institutions that can be linked to systemic risk based on global experience. Therefore, in the study, we evaluate the systemic risk in the banking system of the country via the marginal expected shortfall (MES) criterion. For the purpose of the present study, 17 banks listed on the Tehran Stock Exchange that had seasonal information required for this research over a period of 1389 to 1397 were selected and the systemic risk in these banks was calculated by MES criterion. The finding of this study show the difference between MES of banks and indicate that if a crisis occurs in the financial system or market, the banks are affected but the drgree of impact is different from the finance crisis. Furthermore, compared with other banks, the estimation of the highest marginal expected shortfall belonged to bank gardeshgari (15. 84) and the lowest belonged to Bank Sarmayeh (-18. 38). In other words, if there is a crisis in the market, Bank Gardeshgari and Bank Sarmayeh are expected to experience a return of 15. 84 percent and -18. 34 percent, respectively.
 

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Stock market volatility is evaluated by measuring the variance of the market that is evaluated through consumption growth volatility in the framework of pricing of CCAPM models. This theory is not consistent with revealed facts, in reality; because consumption growth is very smooth but stock market appears highly volatile; this is famous to stock market volatility puzzle. In this regard, the new findings suggest that the combination of the traditional approach to the agent of systemic risk of bubble make it easier to interpret the market volatility puzzle better than before.
The main objective of this research is to interpret the stock market volatility puzzle due to the systemic risk of bubble in the security market in the period of 07 / 1387 to 06 / 1395. In this regard, the systemic risk of bubble in the securities market was investigated by using of the “Supremum generalized standard Dickey-Fuller tests", then market volatility puzzle was analyzed by usage of the results. The results showed that securities market has experienced one bubble periods (01/1392 to 01/1393). The results also showed that the traditional approach (regardless of bubble risk factor) is not able to explain the stock market puzzle, but bubble risk-based methodology is provided a better explain  to stock market volatility.

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Each financial institution faces different types of risks, with three of the most important risks in the banking system being credit, market and operational risks. In order to manage risk, sufficient capital must be allocated. One of the common ways to calculate the capital needed to deal with these risks is to calculate the capital proportional to each risk and then the algebraic sum to obtain the total capital required. However, many recent studies of financial institutions' risk calculations have also considered the correlation between risks. Therefore, the purpose of this study is to compare the credit and market risk data, combine these two risks together and then calculate the capital requirement in the Iranian banking system to face two cumulative risks. In order to integrate these two types of risks with different statistical characteristics, the Copula function is used. Also, for each of the two risks, the associated risk factors are taken into account and their dynamics are modeled and used in the design of the desired model and to obtain the final distribution functions.

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Abstract:
The banking industry is one of the main sectors of the economy of any country, that its health is a necessary condition to play a positive role in the economic development of that country. The health of the banking system is assessed by the financial stability criterion, which is evaluated by various risk-taking indexes. On the other hand, the banks risk-taking is affected by various factors, the most important of which is banking competition. The purpose of this study is to investigate the effect of banking competition on the risk-taking of the Iranian banking industry during the period 2009-2019. For this purpose, banking competition has been studied in the form of two main structural approaches (using the Herfindahl-Hirschman concentration index) and non-structural (using the Panzar-Rosse statistic). Z and NPL indexes have also been used as a criterion for assessing the banks risk-taking. According to the results, the concentration index calculated based on the total assets, total lending facilities and total deposits of the 19 banks under review had an almost declining trend, which indicates that the Iranian banking industry is moving towards competitive conditions, while the estimated Panzar-Rosse statistic indicates the existence of a monopolistic competition in the Iranian banking industry. According to the results, the effect of the three Herfindahl-Hirschman concentration indexes on banks chr('39')risk-taking is not always significant, while there is a non-linear U-shaped relationship between the Panzar-Rosse statistic and the banks level of risk-taking. This means that as the banking system becomes more competitive to some extent, the level of banks risk-taking decreases and then begins to increase. Also, according to the results, the level of competition in most years has been at a higher level than the optimal level. Therefore, it is recommended that in order to reduce the banks level of risk-taking, banking policies should be designed in such a way as to reduce the level of competition to an optimal level.