Iranian Financial Engineering Association(IFEA)International Journal of Finance & Managerial Accounting2588-437931020180801Reputation Risk Management in the Framework of Enterprise Risk Management: Evidences from an Active Financial Institution in the Capital Market of Iran11313325ENFereydonRahnamay RoodposhtiProfessor of Finance, Islamic Azad University, Science and Research Branch, Tehran, IranEhsanAskari FiroozjaeiPh.D. Candidate of Finance, Islamic Azad University, Science and Research Branch, Tehran, IranMojtabaRostami NoroozabadPh.D. Candidate of Financial Management, Young Researchers and Elite Club, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran (Corresponding author)0000-0002-1255-7979Journal Article20180204Reputation risk as one of the most important risks in any competitive industry and market should be considered before all the risks of the enterprise which also affects other risks. This research aims to review and manage reputation risk in the framework of enterprise risk management. Considering the importance of the subject and lack of available studies in this field, the innovation of present research is in its general and partial format. The statistical society of this research has been an active financial institution in the Iranian capital market. Hence, three general criteria including financial metrics, customer metrics and staff metrics were used to measure and analyze the reputation risk. The research period has been from 2011 to 2016. Required data was collected from financial statements by Codal Website in order to analyze information. Obtained data was analyzed using Microsoft Excel. Results showed that reputation risk is at a low level for the financial institution under study. Some indicators, however represented higher levels of reputation risk. Finally, some suggestions were presented for better management of reputation and also mitigation of related riskshttp://www.ijfma.ir/article_13325_220bd44f67edd4f311c6c06436cf9a65.pdfIranian Financial Engineering Association(IFEA)International Journal of Finance & Managerial Accounting2588-437931020180801A Compound Decision Support System for Corporate Planning153113326ENHassanRashidiDepartment of Mathematics and Computer Science, Allameh Tabataba’i University, Tehran, IranJournal Article20180318Providing a plan for any corporate or firm at macro level, as an organization or enterprise resource planning has particular importance nowadays. To meet the enterprise resource planning needs applications software packages provide a set of uniform pre-prepared and pre-designed that covers all business process throughout an organization. To achieve maximum efficiency in the implementation of these packages and their synchronization with the needs, organizations face a very complex problem. In this paper, a decision support system to be used for planning in various economic firms is presented. By using this system, the managers can investigate their corporate in the past and then they can make a plan for future. We implemented the proposed decision support system for a company in Iran. This company has two production lines subject to exchange rates. In the evaluation, four alternatives to make the plan for future are applied. The experimental results show the optimizing the exchange rate allocated to production lines provides the best solution for this company.<br /> <br /> http://www.ijfma.ir/article_13326_a1b22c44ffdc29c11284b0fb2742d89d.pdfIranian Financial Engineering Association(IFEA)International Journal of Finance & Managerial Accounting2588-437931020180801Predicting Bankruptcy of Companies using Data Mining Models and Comparing the Results with Z Altman Model334613327ENSomayeFathiDepartment of Accounting, Boroujerd Girls' Technical University, Lorestan, Iran
(Corresponding author)SamiraSaifDepartment of Accounting, Payame Noor University, Nahavand, Hamadan, IranZohreHeydariDepartment of Accounting, Kosar University of Bojnord, Bojnord, IranJournal Article20180215One of the issues helping make investment decisions is appropriate tools and models to evaluate financial situation 0f the organization. By means of these tools, investors can analyze financial situation of the organization and identify financial distress or an ideal condition, they become aware of making decisions to invest in appropriate conditions. The main objective of this study is to evaluate the power of using data mining models which are among new tools of prediction. This tool was used to predict the bankruptcy of companies listed in Tehran stock exchange and comparison the results with the Altman model as one of the prevalent methods of prediction the bankruptcy of a company. The research data includes information of all companies listed in Tehran stock exchange during the years 2013 to 2018 subjected to Title 141 of the law of trade and were bankrupt. Variables used in both models were five financial ratios. The data mining models on the average in the base year had a predictive ability of 92.4 percent and the Altman model had a predictive ability of 82.41 percent. Considering the results, it was shown that the data mining model has more power to predict bankruptcy.<br /> http://www.ijfma.ir/article_13327_82f82644bda7a260970fbd52a4c96528.pdfIranian Financial Engineering Association(IFEA)International Journal of Finance & Managerial Accounting2588-437931020180801Modeling Volatility Spillovers in Iran Capital Market475513328ENMohammad HashemBotshekanAssistant professor, Allameh Tabataba’i University0000-0002-1685-8808MahdiSadeghi ShahdaniAssociate professor,Department of economic, Islamic studies and economics Faculty, imam sadiq universityHosseinMohseniPhD in finance, Allameh Tabataba’i University
(Corresponding author)Journal Article20180205This paper investigates the conditional correlations and volatility spillovers between the dollar exchange rate return, gold coin return and crude oil return to stock index return. Monthly returns in the 144 observations (2005 - 2017) are analyzed by constant conditional correlation, dynamic conditional correlation, VARMA-GARCH and VARMA-AGARCH models. So this paper presents interdependences in conditional volatilities across returns in each market. The purpose of this study is to identifying volatility spillover on the capital market in order to managing financial volatility, in addition to policy making and risk management. The evidence of this study confirms the asymmetric volatility spillovers of the dollar exchange return and also conditional shocks from gold coin and crude oil returns to the stock index that ignoring the asymmetries effects in in the model will exaggerate the returns and shocks spillover. In addition to these results, dynamic model gives the statistically significant estimates for all returns with most impact shocks from dollar exchange return and gold coin returns.<br /> http://www.ijfma.ir/article_13328_5b1add8961a1cfa07e60838ffd0f83e7.pdfIranian Financial Engineering Association(IFEA)International Journal of Finance & Managerial Accounting2588-437931020180801Comparison of Performance of Traditional Value at Risk Models with Switching Model in Tehran Stock Exchange576813329ENVahidRezaieDepartment of the Accounting، Qeshm Branch، Islamic Azad University, Qeshm, IranMirfeizFallahBusiness Faculty, Tehran Central Branch, Islamic Azad University, Tehran, Iran
(Corresponding author)0000-0001-7989-8703HamidrezaKordlouoieAssociate Professor and Member of the Accounting Department and member of the Young Researchers Club Islamic Azad University of Islamshahr Branch Tehran. Iran0000-0002-9498-0534Journal Article20180317The problem of portfolio optimization has made many advances since Markowitz proposed an average-variance-based optimization. It can be said that the most important achievement of the Markowitz model was the introduction of variance as a risk indicator and indeed, the introduction of a quantitative benchmark into it. This research is a model for predicting value at risk. This model extends the previous methods to provide a prediction model for switching to increase the effectiveness of predictions. The switching model is explicitly designed to solve the problem with risk managers who do not trust a particular Value-At-Risk model and allows the model to calculate the value at risk in different times and conditions. In this study, predictive methods such as EWMA, historical simulation, Monte Carlo and constant variance model will be discussed. This approach is explicitly designed to predict the predictive problems of managers who do not estimate their estimates for a specific VaR model, and allows the estimated model to change over time. This approach assumes that investors at any point of time use only the historical information available to select a model, and that the choice of model is based on a pre-determined selection criterion, and then the choice of model used to predict value at a later date. The results of the research indicate that the switching model is highly desirable compared to other models over time.<br /> <br /> http://www.ijfma.ir/article_13329_d27bf4d538d65711468835f9daef576e.pdfIranian Financial Engineering Association(IFEA)International Journal of Finance & Managerial Accounting2588-437931020180801Impact of Presence of Women in the Board on the Weakness of Internal Control839413331ENSaharSepasiAssociate Professor, Faculty of Management & Economics, Tarbiat Modares University, Tehran, Iran.
(Corresponding author)0000-0001-7870-7231MahyaRezayatMSc Accounting, Tarbiat Modares University, Tehran, Iran.Journal Article20180219The board of directors is the head of the supervisor and controller in the organization's system. Since the emergence of widespread changes in the business environment has led organizations to take advantage of diverse specializations and skills, changing the composition of the board and the diversity of vision and perceptual skills in their composition has doubled.<br />One of the indicators of diversity in the composition of the board of directors is the ratio of the presence of women in the composition of the board of directors. In this paper, the relationship between the presence of women in the board of directors and the weakness of internal control is examined. The required information from the financial statements and the report of the board of directors of 64 companies listed in Tehran Stock Exchange during the period 2012 to 2015 has been collected. To test the research hypothesis, logistic regression has been used Eviews software. The results of the research show that the presence of women in the board has a negative effect on the weakness of internal control. With the increasing presence of women in the board of directors, the company's internal control system is less vulnerable.http://www.ijfma.ir/article_13331_f055c54d16a8cc75a8cc996511cc9a9c.pdf